Gray Men, also known as Soulless, are creatures of the Shadow used as assassins. Wolves call them Notdead.  Unlike most types of Shadowspawn, however, a Gray Man is not a construct. They begin as ordinary men (and women, though allegedly rarely) who have not only pledged their soul as a Darkfriend but given their souls to the Dark One. After this process, they become almost completely unnoticeable. While the Gray Men are not invisible in the literal sense, even the gaze of alert eyes will slide right over them.
They are highly effective assassins because of their ability to pass completely unnoticed, whether in busy public areas or infiltrating heavily guarded private quarters. The victim himself generally does not realize the presence of a Gray Man until he is struck. Witnesses to the murder often report seeing the victim fall and yet still failing to see the Gray Man killer.
Little to nothing is known of the actual process by which the Soulless are created. However, one can surmise that it involves a trip to Shayol Ghul. As noted above, A Grey Man is said to be a Darkfriend who has allowed the Dark One to remove their soul in some manner. The result of this process separates the person from the normal elements of the Pattern (citation requested; FoH / White Book), and thus renders them virtually imperceptible.