In Game Reference
Grues are referred to in game when you use a lamp, a usable item for adventurers findable almost everywhere in the game.
When using the lamp a message appears: "You are no longer afraid of grues"
Thus a Grue is a creature that's afraid of light, and will not bug you when using the lamp. The conditions to find grues are unknown.
Out of Game Reference
The word grue was first used in modern times as a fictional predator from Jack Vance's Dying Earth universe. Vance probably took the name from an archaic/dialectal English verb meaning shudder, now most commonly encountered in the word "gruesome".
Dave Lebling introduced a similar monster, whose name was borrowed from Vance's grues, into the interactive fiction computer game Zork. Zork's grues fear light and are ravenous devourers of adventurers. Thus, they make it impossible to explore the game's dark areas without a light source.
Due to Zork's prominent position in hacker history and lore, its grues have served as models for monsters in many subsequent games, such as roguelike games and MUDs.
Other Out of Game References
Grues are a very common reference in hacker culture among computer-savvy people old enough to have been playing games in the Infocom era. They have cropped up in other fantasy realms, though rarely, as they are seen as being strongly attached to the Zork universe, Infocom and the medium of interactive fiction in general. For this reason many modern interactive fiction works make extensive in-jokes referencing grues; most memorable was a parody work called Enlightenment, which takes place in a Zork-like universe where the protagonist has overloaded himself with an abundance of light sources—suddenly finding himself in need of help from grues to defeat a troll, he is forced to find a way to extinguish them all.
Grues make an appearance in the Dungeons and Dragons RPG, appearing as a species of intelligent, evil elementals from the Inner Planes, presented as an alternative to the usual neutral, nonsentient summonable elementals of D&D. Aside from a reference to their being "born in places of darkness" on the Inner Planes and a general sense of shapeless menace, they have very little to do with their Infocom namesakes, despite having been introduced soon after the first Zork games and presumably having been inspired by them. Grues also appear in the third edition of the RuneQuest RPG, in the book Gloranthan Bestiary, being the name given to a type of monster clearly based on the alien parasite from the movie Alien, which also hunted in darkness. The same creature also existed in the Gateway Bestiary, written for the second edition of the game, but was not at that time given the name "Grue".
Grues show up repeatedly in the roguelike game Ancient Domains of Mystery; originally only existing as an in-joke, "You are likely to be eaten by a grue" being one of the stock phrases one can encounter while traveling through the dark, eventually the classic Zork "lurking grue" was added to the game. Present in the dungeons but very rare, someone who is suffering under a serious bad-luck curse ("doomed") has a chance of being "eaten by a grue" at any time while moving through the dark, which is an instant, unavoidable death. Grues were also introduced as actual, very high-level monsters one could fight; among the menagerie of "elemental" monsters such as fire lizards or stone giants were "elemental grues" which were supposedly grues advanced enough in elemental (magic) power that they could "wreath themselves in shadows" and fight against players in the light; this was a combination of the Infocom grue and the D&D grues. Grues are also present in the roguelike NetHack, in which they are one of several monsters that the player may think he or she sees while hallucinating, and in the browser-based RPG Kingdom of Loathing, as a nocturnal fighting familiar that appears as a pair of glowing eyes in a patch of darkness (the Grue can only be acquired in a parodical text-based portion of the game that begins with the sentence "things get a little less... illustrated").
In the film Pitch Black the monsters that live on the unidentified planet behave in a very similar manner to grues. They live in darkness, are burned by and repelled by any light, and every character (except Riddick) who goes into darkness without a light source is killed and eaten by them. While the creatures are never called 'grues' outright, it is possible they may have been based on them.
(Almost all out of game information Directly from Wikipedia)