You are on a rope bridge over a bottomless pit... In one hand, you hold the love of your life as she grasps your arm and begs for you not to let go. In the other, you strain to hold the very heavy chalice of mega-power that can banish the dark god back to its own dimension forever. Your hands are getting sweaty and you know you can only save one or the other... What is your choice?
Note that throughout this post I use Campaign, but the same can be used for change of pace or change of theme adventures. Older games in particular have a tendency to migrate towards gray instead of the more obvious black and white they were at the start.
First things first, what do I mean?
Shades of gray often portrays a number of factions as good and evil at the same time, with the protagonists having to choose the lesser evil (or the evil they like best). Shades of gray rarely try to convey a sense of morals to the player. Often times the player leaves with a sense of "it could have been worse" or "there was no good choice".
One system that immediately comes to my mind is Vampire: The Masquerade where the PCs are easily classified as monsters and evil (seeing what some of my old players did... yes, VTM PCs were evil monsters). In Vampire, no one is really good, people have "diverging goals" or "similar interests". At least the good Vampire games worked that way.
The biggest pitfall is to turn shades of gray into a series of major defeats on the part of the PCs. For the choices to be hard there must be something more than defeat. The heroes must also enjoy triumphs for the choice to be harder.
JP
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