Grey literature includes unpublished studies, unpublished clinical trials, conference proceedings, government and other reports, dissertations/theses and more.
Grey literature is often included in systematic reviews and other types of evidence synthesis to reduce risk of publication bias.
This 2013 article reports on some of the challenges and benefits of searching out and including grey literature:
Mahood, Q., Van Eerd, D., & Irvin, E. (2014). Searching for grey literature for systematic reviews: Challenges and benefits. Research Synthesis Methods, 5(3), 221–234. https://doi.org/10.1002/jrsm.1106
Jewell, S. T., Fowler, S., & Foster, M. J. (2017). Identifying the studies (Part 2). In M. Foster & S. Jewell (Eds.).Assesmbling the Pieces of a Systematic Review. Medical Library Assocation Books.
Note: Also see STEM and Social Sciences Repositories