According to the Cochrane Handbook for Systematic Reviews for Interventions:
"Grey literature is the kind of material that is not published in easily accessible journals or databases. It includes things like conference proceedings that include the abstracts of the research presented at conferences, unpublished theses, and so on." (http://community.cochrane.org/glossary#letter-G version).
Other examples of grey literature are: government reports, policy statements and issue papers, conference proceedings, clinical trials, pre-prints and post-prints of articles, theses and dissertations, research reports, geological and geophysical surveys, maps, newsletters and bulletins, fact sheets, think tank research, pamphlets, interviews, surveys, informal communication (blogs, pod castes, email, . . .), basically, anything not commercially published.
A repository is a place where something (in this case: reports, information, etc) is stored. Here are some examples of research repositories: