There are several commonly understood meanings for the term gray literature. Gray literature can be used to describe publications which contain key elements of both popular magazines and scholarly journals. These publications usually include advertisements, news reports, brief articles and photographs, and may be published by large commercial publishers. However, they also include book reviews and articles which are scholarly in nature. Telltale signs of a scholarly article include an abstract, a bibliography, and pertinent information about the author (such as the educational institution he/she is affiliated with). Some examples of this kind of gray literature are Harpers, Atlantic Monthly, Discover, and Science.
Gray literature can also mean literature that has "fallen through the cracks," i.e. is not easy to locate. Typically this is because it has not been indexed. Examples are publications produced by think tanks, research organizations, or advocacy groups such as Green Peace. Other examples include theses, conference proceedings, unpublished manuscripts, newsletters, technical notes, presentations, working papers, house journals, lecture notes, etc.
You can find links to think tanks, research organizations, governement agencies, etc. from the Library's Research Guides. Find a Research Guide on your topic or subject area. The agencies and organizations on these guides have been reviewed by a Librarian and are excellent sources for grey literature (reports, fact sheets, studies, etc.)