Grey hat SEO is black hat SEO that has not been caught yet and penalised
Yet is the operative word, any gains that occur until being delisted are more than lost, being delisted
The practitioner knows it isnt right, knows what will happen to the subject when it is caught, but does it anyway
not a good idea if you wish to be in SER for more than this week
Yes, i agree with "davijhon". Gray hat is about risk versus reward. Some Gray Hat techniques may be frowned by the search engines, but are not necessarily against their rules, while other techniques may be more risky and should be used only after careful consideration.
Tactics which are not defined as illegal in SEO terms but are followed to increase PR can be called as Grey Hat techniques.
Some eg can include
Buying followers to increase Social media reputation
Make Duplicate Content and republish