Grey Literature is all of the research that has been done that is not published in a peer-reviewed journal or book. In education, grey literature is often data sets, statistics, assessment results, dissertations and conference proceedings. It can also include brochures, lesson plans, personal communication, and much more. Grey literature is important for in-depth study and research.
For a more comprehensive list of what constitutes grey literature, see this list from GreyNET.
Dissertations can be a great source for looking at methodologies, up and coming research, and to find comprehensive bibliographies.