Grooming is good, a regular going over with a curry comb can make a big difference, it lifts all of the dead skin and hair, and massages the skin and muscles, encouraging the production of natural oils.
I wanted to expand on this a little bit :) Make sure you're using a rubber curry comb, not a metal one. Don't be afraid to put a little muscle behind it either (as long as the horse is still comfortable), because the more you "massage" it the more benefits you'll get. More natural oils being produced = more shine. At first when you're currying it will be lifting up all the dirt and making your horse look more messy, but trust me, it's worth it. After I curry I go over with a dandy brush (stiff bristles) and 'flick' the dirt that I raised away from the horse. Then go over with a dandy brush (soft bristles) or a rag to pick up whatever dust remains. Regular currying will improve the horses skin and make a huge difference.
I also mix a little conditioner (whatever kind I can get on sale) with some water in a squirt bottle. Sometimes I just spray this directly on the coat to add softness and reduce static. However, my favorite thing to do with it is to use it during the grooming process. I'll spray it directly on the dandy brush before I use it on the coat, and it acts as magnet getting the dust off, as well as condition the coat.
With that regular grooming routine, plus a balanced diet and deworming, my horses are shiny summer and winter.
That being said, it is harder for grays to look shiny. It's not that they AREN'T shiny, it's just that because they're a lighter color, the light doesn't reflect off of them as noticably. Kind of like a blonde girl standing next to a brunette- even if their hair is equally healthy, you're going to notice more light reflecting off the brunette. Does that make sense?
If you wanted to add a supplement for the coat, you can find out a lot at smartpak.com. I think the omega 6 supplement might be a good one for you, but I'm not an expert by any means, so do some reading on it if you're interested.
And that, my Horse Forum buddies, are all my "secrets"