While the Grey Lady doesn't directly give Harry a lot of information, here are some significant things she *did* tell him:
* Her identity: She revealed that she was Helena Ravenclaw, the daughter of Rowena Ravenclaw, one of the founders of Hogwarts.
* The location of the lost diadem: When Harry was searching for the Ravenclaw diadem, one of Voldemort's Horcruxes, the Grey Lady led him to the Room of Requirement.
* The Grey Lady was not the one who stole the diadem: She clarified that the Grey Lady herself did not steal the diadem, but it was taken by her daughter, Helena Ravenclaw, due to her jealousy of her mother's fame.
The Grey Lady also provided Harry with comfort and support throughout his time at Hogwarts, even appearing to him as a ghost in the Forbidden Forest.
It's important to note that the Grey Lady doesn't reveal any crucial plot points or secrets to Harry, but she does offer valuable guidance and information that ultimately helps him in his quest to defeat Voldemort.