Gray literature refers to government, academic, and professional literature that does not get published in a scholarly journal.

Examples: Dissertations, Working Papers, Reports, Conference Proceedings

These will have a mixture of scholarly materials and grey literature.

A preliminary report or article about ongoing research when a researcher is not yet ready to publish in a peer-reviewed scholarly journal. Many schools store working papers in their repositories.

Conferences are professional meetings, where scholarly research is presented and discussed. Materials presented at a conferences (such as posters, presentations, etc.) may be preserved and made available  in various repositories.

Theses and Dissertations tend to reflect (at time of writing) the most current research trends in a field, and as such may include very interesting information that you may find useful, even before the researcher publishes either an article or a monograph derived from their work. Keep in mind that not everyone does that, but you can always check for anything else that author may have published to see if they did so.

Where to Find:

Virtually all our academic databases (and RamSearch) let you limit your results to dissertations and theses

However, only openly-licensed dissertations will be free to download full-text.

That said, many colleges and universities archive their dissertations in their own school repositories; if you find the citation of a dissertation, for example, you can run an online "title phrase search" and/or if you identify the school, go to that website and see if they have an open, free institutional repository.