In Norse Mythology, Greyfell is Sigurd's horse. He is a decendent of Sleipnir, the eight-legged horse that Odin rides.

Greyfell was originally owned by Alf, Sigurd's step-father, who gave Sigurd permission to chose any horse he owned for Sigurd's own. On his way to the stable, Sigurd met Odin disguied as an old man with one eye who advised him to chose the grey horse telling him it was a decendent of Sleipnir.

Greyfell is also known as Grani and in some circles is thought to have been Sigmund's horse, not Sigurd's.

Sources:
http://www.timelessmyths.com/norse/volsunga.html
http://www.meta-religion.com/World_Religions/Ancient_religions/Europe/norse_mythology.htm