The Grey King is an unseen character in Game of Thrones. He is deceased when the series begins and only appears in some of the "The Complete Guide to Westeros" featurettes. The Grey King is a legendary ironborn King of the Iron Islands. House Greyjoy of Pyke claims descent from him.
Blessed by the Drowned God, the Grey King was said to have waged war against the Storm God himself and slain Nagga, the first sea dragon, using its bones to build his hall. Legend has it that he also took a mermaid as his wife and lived for a thousand years.
In the books
The books give more detail about the Grey King's life. He reigned for a thousand years with a mermaid as his wife and plotted his war against the Storm God. He supposedly wore robes of woven seaweed and a tall pale crown made from Nagga's teeth. From Nagga's bones he made his hall, the Grey King's Hall, which he heated with Nagga's living fire. When the Grey King died, the Storm God snuffed out the fire and the sea stole his throne. Only his hall remains.
His name follows the British spelling "grey" (as does Greyjoy), which is less common than "gray" in American English, but still used.
Garth Greenhand · First King · Florian & Jonquil · The Grey King · The Griffin King · Joramun · Lann the Clever
The Night's King & the Night's Queen · The Rat Cook · God-on-Earth · The Prince That Was Promised