I think there's some confusion to the whole "grey area" of the supposed moral spectrum. Good or evil is actually, as Lightknight pointed out, often rather binary.
But even the choice of a poor person to steal from a rich person to feed his starving family is not truly "gray". It's wrong to steal, most people know that and thus they do not. It's wrong to kill people, yet often the hero murders others for a supposed good cause. But that does not make the act of murder or stealing any less of a crime or morally "gray". It's still theft or murder - and theft and murder is wrong.
What we really mean with morally "gray" is "justifiable evil". Can I convince myself that my act of evil will have a good enough outcome for me to be willing to perform it.
In not so simple terms:
If I launch a rocket powered drill up the villains ass, send him skywards and set him on fire, before blowing him to bits and basking in the shower of blood and flaming flesh, does that in turn benefit me or someone I care about enough for me to be willing to do so? If the answer is yes - even if it's just because you like the smell of burnt flesh - it's justifiable evil to you aka. "Morally gray".
Who's to say you couldn't just shoot him in the knee and leave him crippled for life (well, if the game is about shooting people then the choice has probably already been made for you, but I still hope you get the point)?
It's harder, sure, but that's what doing the good thing is about. Doing the good thing often means doing the hard thing, which games often forget. Taking the villain alive, not doing evil for the sake of good - that's what "the good choice" is about.
It's why Superman doesn't kill his enemies, why Batman keeps throwing villains through Arkhams revolving doors (yes, I'm aware the movies keep fucking this part up). Taking the high road is often costly, it's harder, it will more than likely come back to bite you in the ass - but that's why we consider those who do so real heroes. It's why Nelson Mandela was considered a great man - he took the the high road, the difficult path, chose to forgive and make peace when people called for revenge and justice in blood after decades of abuse. Even though, after decades in jail, he could have easily become a warlord instead.
This is why doing good in games only becomes interesting if there's consequences, otherwise the choice to do good might as well not be there. Doing the good thing in life often incurs a personal cost or reduced personal benefit, because doing the evil thing will normally benefit you more. It's part of human nature, it's why corruption exists in the first place. And it's difficult to always do the right thing, that's what makes it interesting. Just killing the villain, saving the girlfriend, hugging a friend - they are all boring in terms of moral choice because there's normally no cost.
Taking the villains prisoner - despite what they've done or if they'll kill your girlfriend if you do so, now that's more interesting. That's proper moral choice. Or to take one of the better choices from Dragon Age: Origins as an example:
Recruit the man who got your king, boss and fellow wardens killed, instead of executing him. Taking the high road, even if you lose a friend for it. Choosing penance over murdering him to enact revenge. That's what doing "good" needs to be, in order to be more than the default path.