The separation between autumn/winter female Pine Bunting Emberiza leucocephalos and so called "grey" Yellowhammers Emberiza citrinella is a well-known field-id. problem. Although widely mentioned in the literature the existence of "grey" Yellowhammers has been questioned, and to my knowledge very few documented individulas have been published. However, here in Finland more or less grey Yellowhammers occur every winter and this type is well-known to local birders. These birds all seem to disappear with the winter, most during March, and I have never personally seen a grey bird in the breeding season. To get to grips with the problem I can suggest to read the following papers and books:
-Bradshaw, C. 1990: The Big Waters Bunting. Birding World 3:86-88
-Bradshaw, C. & M. Grey, 1993: Identification of female Pine Buntings. British Birds 86:378-386.
-Byers, C., U.Olsson and J.Curson, 1995: Buntings and Sparrows. Pica Press.
- Harris, A., H.Shirihai and D. Christie, 1996:The Macmillan Birder's Guide. Macmillan
-Lewington, I. 1990: Identification of female Pine Bunting. Birding World 3:89-90

Below is a set of Yellowhammers photographed on the 6th and 7th of January 2006 at my feeder in Hanko. This winter Yellowhammers seem to be more abundant than usually, and the flocks I have seen contain a high percentage of more or less grey birds. I believe that the grey birds are young females, but since none of the birds have been trapped, this remains just an educated guess.

The set below starts with "normal" looking birds followed by birds with a decreasing amount of yellow and ending with the greyest individuals, the ones most similar to female Pine Buntings. These are all birds from the same flock of about 50, but none of the individuals shown here is a really difficult one, as even more Pine Bunting-like females do occur.
Thanks to Pekka Puhjo for his comments on the following birds.

Fig. 1-3. Three normal looking male Yellowhammers.

Fig.4-6. Rather "normal" looking females. Fig 4 and 5 are the same bird. These individuals show rich yellow underparts.

Fig. 7-12. Females with just a faint yellow wash to belly and throat. Birds like this may appear to lack yellow altogether when they are crouching on the ground with their bellies hidden. Note how different the head-markings are and the underparts streaking is in the different birds. Primary edges are yellow in all these birds. Figs. 11-12 are of the same bird.

Figs. 13-18. Female Yellowhammers with no visible yellow on belly or head. Primary edges yellow or yellowish buff in most, but some of the birds in this flock had buffish, not yellow edges to their primaries, thus showing no visible yellow at all in plumage.

PS:Personally I believe, that the Big Waters bunting was a "grey" Yellowhammer.