What is grey literature?

Grey literature includes, but is not limited to:

Reports, Preprints, Memoranda, Theses, State-of-the-art reports, Market research, Conference posters and proceedings, Technical specifications and standards, Bibliographies, Datasets, Ongoing clinical trials, Government documents, Patents, Newsletters.

Why consider grey literature in your systematic review?

The answer in short is: to decrease publication bias. Not everything that is known get published in commercial scientific journals, and the reasons are not always about quality. The journals want to publish new findings on topics that creates interest and citations, and researchers tend to be strategic with what they publish, to get the most out of their efforts. Negative or confirming results are not likely to get published, but can nevertheless sometimes be of vital importance. Authorities and organisations produce information that is published in other channels. If you need to include and consider all findable evidence, or only that which has been published in a scientific journal, depends on subject, aim and ambition for the review, but the decision whether to do it or not should be discussed and motivated.

One approach to the wide variety of grey information is to look for "file drawer research" (as yet unpublished academic research) and "practitioner-generated research" (including reports from organisations, governments and other authorities) separately and with different strategies regarding sources and inclusion criteria (Haddaway and Bayliss 2015, https://doi.org/10.1016/j.biocon.2015.08.018).

Search for academic research not published in peer-reviewed journals in:

Conference proceedings, papers and even abstracts can sometimes be found in literature databases like Web of Science, CAB, Biosis…
Conference websites
Institutional repositories eg. for theses
Preprint archives like ArXive or BiorXive (OSF Preprints has a list of available preprint archives by subject, and enables searching them all together or one by one)
Data repositories
Funders registries
References to unpublished results
Author contacts

Search for practitioner-generated research in:

Government databases (e.g. Government Offices of Sweden)
Non-Governmental Organisations websites (e.g.,WWF Publications)
Policy repositories (e.g., European Union documents and publications)
Web searching (e.g., Google Scholar)
Industry contacts (e.g., businesses, consultancies)
Contact with research producers via personal contacts, email lists or social networks (subject-dependent

Useful links:

GreyNet, the Grey Literature Network Service
Open Access Theses and Dissertations
OSF Preprints
The OAIster^® database
OpenAgrar
re3data Registry of Research Data Repositories
Overview pre-print servers - Wikipedia