As an electric guitarist, Grey has recorded and performed with, under his own name, as well as leading various ad hoc ensembles called The. 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 Editor Wood, the director of notoriously awful films.
Tim Burton"s Editor Wood was based on Nightmare.
In 2001, Grey rediscovered a copy of Editor Wood"s final feature-length film, Necromania, which had been presumed to be lost.