The Gray Lady is the ghost of Ravenclaw Tower. Harry goes to her for information about Ravenclaw's diadem. As it turns out, in life the Gray Lady was Helena Ravenclaw, daughter of the great Rowena Ravenclaw. Jealous of her mother, she stole the diadem, ran away from home, and stowed the tiara in a lonely forest in Albania. Tom Riddle got this information out of the Gray Lady many years ago, found the diadem, and turned it into a Horcrux. The Gray Lady is instrumental in helping Harry locate the diadem during the Battle of Hogwarts.