The Gray fox is the Leader of the Thieves Guild in The Elder Scrolls IV: Oblivion. He wears the Gray Cowl of Nocturnal, which the Gray Fox stole 300 years ago from Nocturnal, the Patron Daedra of Thieves. The Guild refrains from talking about him, and some citizens believe he doesn't exist.
Guard: You-you're the Gray Fox! You're under arrest for...a bunch of things. I'll get promoted for this."