As an electric guitarist, Grey has recorded and performed under his own name, as well as leading various ad hoc ensembles called The Blue Humans. His music draws on no wave and free jazz.
Grey is also a motion picture historian and has written Nightmare of Ecstasy (1992), a biography of Ed Wood, the director of notoriously awful films. Tim Burton drew heavily on Nightmare for his film Ed Wood.
In 2001, Grey rediscovered a copy of Ed Wood's final feature-length film, Necromania, which had been presumed to be lost.