The Gray is a dreary, endless space, the place Athasians go when they die. This infinite expanse of ashen haze attracts the spirits of the dead once they give up the confines of their mortal raiment. In the Gray, the dead exist in a sort of limbo, floating aimlessly in the ether or assuming the forms they held in life. Eventually, the spirits of the dead are dissolved and absorbed into the Gray, much as their corpses are slowly obliterated by rot and decay on Athas.
Some spirits don’t suffer this fate. They are sustained by a force more powerful than the Gray—their everlasting faith in a cause greater than themselves. The Wraiths who once served Borys the Dragon were such spirits, surviving centuries beyond death thanks to their dedication to Borys.
Spirits of the dead coalesce out of the Gray; when the living enter this plane they are drawn through it. Most spirits can’t leave the Gray once they become mired in its ashen haze. Only those spirits that are classified as “undead” have this ability. Spirit undead (also called noncorporeal undead) can freely pass from the Gray to the material world of Athas, but they must return to the ashen plane at regular intervals to sustain their existence. Corporeal undead can’t enter the Gray, but they still draw sustenance from it.
The Gray surrounds the portion of the prime that contains Athas. It separates Athas from the Astral and Ethereal, making planar travel difficult. In the case of the Astral Plane, the Gray forms a wide buffer, making the Outer Planes seem almost unreachable. The buffer isn’t nearly as wide between Athas and the Ethereal. Therefore, the Inner Planes are relatively closer, and the elemental conduits that provide energy to Priests have less metaphysical distance to travel.
Necromancers reach into the Gray for energy to cast spells. This source of power gives these Wizards a compelling connection to the dead and undead, a connection that, in turn, influences the Wizards. They have the look of death about them; it hangs like a dark aura or burial shroud around them, marking them as Death Wizards to those who can interpret such signs. Others simply feel ill at ease in their presence.
Athas has different Cosmology than most worlds.
In normal Cosmology, lost souls would normally move to the Astral Sea and then be ferried to the afterlife. On Athas, the Gray is there. A barrier that acts as a dreamcatcher of souls. Those who are trapped in the Grey slowly lose all sense of being and place. Those who dwell there are said to lose their physical body and if asked who they are they reply, "No one" and if asked where they are, "No where".
There is a rumor that a group of powerful Wizards managed to pierce the Gray only to find death and destruction on the otherside. Whether this is true remains to be seen.
Gith legend states that they were once a great race living on the other side of the Gray that flew on giant astral ships through it. The act of penetrating the Gray caused their ships to crash and stranded them on Athas where they mutated into the creatures they have become today.