Payne's grey is the bluish-black very dark grey color that probably isn't on your palette, and you may never think to use it either. However, occasionally I have found it very useful in mixing cool dark neutrals or for cool shadows.
Anyway, I suppose I also wanted to do a blog on this to complete my "trilogy" of blogs about where several paint colors got their names, the other two colors being Hooker's green and Davy's grey. Here are links to those blogs: Why Is It Called Hooker's Green? and Why Is It Called Davy's Grey (Who Was Davy?)
From About.com, Marion Boddy-Evans tells us that "The color Payne's Grey is named after a British watercolorist and art lecturer, William Payne (1760--1830), who recommended the mixture to students as a more subtle alternative to a gray mixed from black and white. In Artist's Pigments: c.1600-1835 Payne's grey is stipulated to originally have been "a mixture of (crimson) lake, raw sienna and indigo."1 (When referring to the original, remember "grey" will be spelt the British way with an 'e', not the American way with an 'a'.)"
Now you know as much as I about these three painters from the mists of history and how they came to be immortalized in paint colors.