People often talk about grey matter and white matter without making it clear what they mean; even a fictional character like Hercule Poirot, for example, makes references to his 'little grey cells'. The brain can be usefully divided into areas where the connections are very dense and so short that speed isn't much of an issue (grey matter); and other areas where the connections are less dense, but faster, and often cover longer distances, called the white matter.
A dead brain does look sort of grey and white in different areas. A living brain is mostly browny-pink, because it is well supplied with blood vessels, while the grey matter is slightly darker (browner).
The white matter looks white (or paler) because it is high in fat. The brain uses fat to surround and insulate the connections, to stop spikes from 'leaking away' as they travel to the synapses. So areas of the brain responsible for the long-range connections have very fatty axons, and these regions appear paler. And in contrast, areas containing only very short-range connections, which need very little fat, appear darker or grey.
To complete the picture there is a small amount of 'black matter' which is a distinct area of the brain, deep inside, which appears darker than the grey matter because the cells have pigment in them. This area is always referred to by its Latin designation substantia nigra - in contrast to grey and white matter which are hardly ever called substantia grisea and substantia alba.
Oh yes, and there is a blue bit. The locus coeruleus. I have never seen one but apparently it looks a bit blue.
Part of: Martin’s Vastly Oversimplified and Woefully Incomplete Guide to Everything in the Brain as featured on the Brainsex website.