Muggles' Guide to Harry Potter/Characters/The Grey Lady

Overview
The Grey Lady is Ghost of Ravenclaw House.

Deathly Hallows
The Grey Lady helps Harry find information about the lost Ravenclaw diadem, which has been made into a Horcrux by Lord Voldemort. We discover that she was Rowena Ravenclaw's daughter Helena, and had stolen the diadem and hidden it in Albania. Harry correctly determines that it had been retrieved by Voldemort, and stored in the Room of Requirement (in its Junk Storeroom state).

Relationships with Other Characters
It turns out that the character who became the Bloody Baron (upon his death) went to Albania, where the Grey Lady (as she was to become) was hiding, to bid her come back to see her mother before she died. When she refused, the Baron, angered, killed her.

The Grey Lady apparently stole the Diadem from Rowena Ravenclaw out of jealousy of her mother's achievements and fame. We are not told why she refused to return, though we can safely guess that it was either fear of retribution or remorse.