Gray literature is literature that is scholarly, but not peer-reviewed nor published in a "traditional" scholarly format such as a university press book or a scientific journal.
Examples of gray literature are:
Gray literature can help inform our search strategy. We can also learn from gray literature what science is currently being done on the bench, in the lab, or in the field, as many scientists don't publish all of their work in a scientific paper until their findings are complete. We also need to recognize that not all scientists work in academia; many of them work in the corporate, nonprofit, or government sectors. By reading and understanding how research is being currently done in the field, we can get a fuller picture of our research topic(s).