The Grim is a large, black, spectral dog that is associated with death. It's a bad omen and is often seen as a harbinger of doom.
In the first book, Harry Potter and the Philosopher's Stone, Professor McGonagall describes the Grim to Harry and Ron as:
> "A large, black dog... with glowing red eyes. It's a sign... a very bad sign... of death."
However, the Grim is often mistaken for a normal dog by those who haven't experienced its true nature. This happens to both Harry and Ron in the book, adding to the suspense and making the threat of the Grim even more eerie.