Payne's Grey is a blueish dark grey color made by mixing a blue and a black together, typically ultramarine and bone black. Sometimes a touch of red is added to the mix. Check the back of a tube of paint to find out exactly what is in that particular Payne's Grey. For instance, Golden's acrylic version contains PB29 and PBk7, while Winsor & Newton's oil paint version contains PBk6, PBk19, PB29, and PR101.
Used straight from the tube, Payne's Grey is a very dark and cool color. When used thinly, the blueness becomes more apparent.
The color Payne's Grey is named after a British watercolorist and art lecturer, William Payne (1760--1830), who recommended the mixture to students as a more subtle alternative to a gray mixed from black and white. In Artist's Pigments: c.1600-1835 Payne's grey is stipulated to originally have been "a mixture of lake, raw sienna and indigo."1
(When referring to the original, remember "grey" will be spelt the British way with an 'e', not the American way with an 'a'.)
1. Artist's Pigments: c.1600-1835 by RD Harley, Archetype Publications, 2001, page 163.