Alternity and later d20 Modern: The Greys show up under the name Fraal. Most are in the wise and benevolent mode, studying the effects of alien intervention on humanity, while trying to safeguard them from aliens with less benign intentions... but some extremists believe that humanity is an inferior race that should be subjugated. However, this is just their default version; at least one campaign setting (for D20 Future) has them as conspirators implied to be plotting to conquer Earth.
Although they look considerably more humanoid than does the Grey at the top of the page: they have human skin tones and generally wear clothing.
Much closer to the mark, the Greys appear in the Alternity campaign setting Dark•Matter (1999), which was a conspiracy game — sort of like a table-top X-Files.
One Monstrous Compendium annual supplement imported the Fraal into Dungeons & Dragons as stranded dimensional travelers.
Star*Drive had the fraal (though human-fraal interactions were heavily modified, in part because the combination of human and fraal technology led to the eponymous Stardrive once the fraal in the Solar System made public First Contact). It also had the thaal, the (as of the chronologically latest update to the setting) unknown de-facto leaders of the invading Externals. Kinda. The thaal had another name: dark fraal. They were actually another branch of the fraal species, the priestly caste that had won a civil war and driven off the scientific caste, which then developed into the nomadic fraal culture.
Dark Conspiracy features Greys as one of several extraterrestrial races that the player characters can encounter.
Delta Green has the Greys as a mask worn by the Mi-gou, a race of fungus-like aliens with sinister intentions. They struck a deal with Majestic-12 (Delta Green's "replacement") and regularly supply them with reality-bending technology.
Eclipse Phase: Transhumans engineered biomorphs based on Greys; officially they're based on DNA of 100% human origin, but some half-serious conspiracy theories claim that they were spliced with genetic material recovered from Roswell. Given how little extraterrestrial life in the setting resembles Terran life in general (the only living sophonts contacted look like giant slime molds), it's unlikely that particular theory is true.
GURPS Atomic Horror: The Greys are known as "Alphans", and abduct people to extract genetic information, which they use to create new members of their species.
GURPS Black Ops: The Greys are an amoral race stranded on Earth, and prone to abducting and enslaving people and performing bizarre experiments while waiting for their SOS to reach their homeworld. The Black Ops Conspiracy seeks to eliminate them before the Rescue ship arrives.
JAGS Wonderland: The Greys are humans who have been altered by Project Pagan to be something the Caretakers can tolerate.
Changeling: The Lost: The Greys are The Fair Folk conforming to the modern equivalent of Faerie and Faerie Abduction myths. Well, at least the confirmed ones are. The books point out that there could be real aliens, and you're free to include them in your game if you want.
Mage: The Awakening: The stereotypical Roswell Greys are described in Summoners. So is the Chupacabra, although this version looks more like a sabertoothed canine than the "vampire Grey" of popular culture, presumably based on apocryphal accounts of autopsied Chupacabra corpses that resembled an unknown species of canine.
The Elohim are a Choir of angels whose true forms resemble hairless, pale-skinned, big-eyed humans. They're dispassionate and logical beings, intended to serve as bias-free arbiters and mediators for Heaven.
The Grey aliens are Ethereal spirits, servants of the Demon Princess of Nightmares who specialize in invading human dreams to create vivid nightmares of abduction, vivisection, and torturously invasive surgery. They feed off of the Essence generated by their victims' terror, and additionally cultivate a small myth around themselves by tricking their victims into thinking that their dreams were real and by occasionally making an appearance in the physical world. They have a bitter enmity with the Benevolent Space Brothers, another group of Ethereals who sustain themselves by impersonating the myth of benevolent, advanced new-age aliens and who feel that the Greys are poachers and copycats, and with the Elohim.
Pathfinder: The derro take numerous traits from this archetype, such as abducting humans for disturbing experiments in the middle of the night and resembling small humanoids with pupiless eyes. However, they're actually a race of degenerate fey that come from Beneath the Earth instead. Actual Greys appear too with all the more sinister elements of this trope like Blue-and-Orange Morality, nightmarish experiments involving abduction onto strange vessels, Psychic Powers and enigmatic origins.
Warhammer 40,000: The Tau have grey skin, dark eyes, and no nose, but they are taller than typical Greys, and have hoofed feet (They are evolved from grazing ruminants and uplifted through the pheremone glands of a giant insect). Though their vessels are not saucers, they favor smooth, rounded shapes, and their technology looks more advanced than the humans' (long story on that one). The Tau are not so much about abducting people as they are about welcoming them into their empire, whether they want to or not. They subvert the trope by being relatively naive and idealistic in a thoroughly Grimdark setting - they justify orbital bombardment and sterilization as being "for the Greater Good" rather than killing out of xenophobia.
Yu-Gi-Oh!: The Greydle archetype is a race of slime-like Grey aliens in their natural form.
In the Terra Arisen setting for the Cepheus Engine, the Reticulans are pretty much the classic Greys. Small stature, coldly logical, and strongly psionic. They rule a vast interstellar empire of various client races that until recently, included Terrans. The current day takes place a few years after the Terrans won a brutal war of independence, now the newly created United Terran Republic maintains an uneasy peace with the Reticulan Empire.
