Gray Ladies are, as the name implies, the gray-colored ghosts of women. These specters are the spirits of women who died for love or were killed through the malicious (though usually not murderous) actions of their kin.  They are apparitions, appearing suddenly and vanishing just as quickly. They also often repeat actions over and over again, like a recording. Gray Ladies are often confused with White Ladies, a different kind of ghost with completely different motivations.  Also, Gray Ladies, unlike White Ladies, are not usually death omens.

These spirits are found the world over, with no specific region laying the most claim to them.  There have been cases of Gray Ladies in England, the United States, Turkey, Russia, even Australia and Japan (where they meld into the Yurei myth).  Often times Gray Ladies are seen wandering cemeteries, especially old battlefield cemeteries.  There are a plethora of Gray Lady stories surrounding Civil War graveyards, for example.  This is usually due to the woman in question having died while pining for one of the men buried there, and now she looks for her lost beloved.

In addition to the cemetery walkers, there are Gray Ladies who haunt rivers near their former homes.  The White Lady of Arca, in New York, is an example of a Gray Lady (despite the name) that haunts the place of her death.  Legends say that she is the ghost of young woman who died in the late eighteenth century trying to ford the river.  Her body was not found, and now she wanders the riverside.  She has continued to appear for the last 200 years at various times in and around the river. Other Gray Ladies haunt old libraries and college halls. In many cases the ghost is thought to be the spirit of a woman who died alone and lonely.

The possible origin for the term “Gray Lady” may come from the English Tudor period.  With the conversion of the state religion and the rise of Protestantism and the Church of England, many Catholic churches and monasteries were razed in the name of the king.  Convents were also targeted.  The nuns dwelling there were given the choice to convert or die, and most chose to die. At the time, Catholic nuns tended to wear habits that were dark gray in color, instead of the more recognizable black, and thus the ghosts of those nuns, brutally murdered, appeared as spirits in gray.  Supporting this theory is that there are a number of known Gray Ladies that prowl Newstead Abby and Rutherford Abbey in York.

Gray Ladies are often also associated with poltergeist activities.  While they do not directly interact with the living, they can cause objects to move, and will sometimes lash out at those they feel are trespassing.  They usually do not speak, and can vanish immediately.  In many cases they appear to be quite normal at first, simply pale women, perhaps sobbing or looking forlorn, but they can disappear into fog or turn into dark phantoms very quickly.  Amusingly enough, the librarian ghost at the beginning of Ghostbusters is an almost perfect representation of a Gray Lady.  It engages in poltergeist-like activity, appears somewhat normal at first, refuses to speak, and flies into a dark and frightening form when confronted.

Most Gray Ladies appear to be searching for something, though what they are looking for may be unknown.  Even if it is, and is provided to them, they usually still cannot rest, for they are bound by more than mere objects to this mortal plane.

References:
Wikipedia: The Grey Lady
Exemplore.com: The Colour of Ghosts
Willard Library: Ghost