Grey Gardens is unusual in a number of ways, but perhaps most notably for being the only musical based on a documentary. Thus, the show has an historical perspective uncommon in musical theatre.
Long ago, musicals used to be musical comedies, big and splashy, tuneful and fun. Somewhere along the way, they seem to have split into two groups: massive, scenery/effects-driven spectacles, and intimate, rip-the-characters-apart dissections of society. Grey Gardens: the musical has some scenery, but it is peopled with characters grasping, dragging them down, clawing at each other.