Based on a conversation I was having with a friend, here is a quick snippet from Slaves to Darkness regarding the origins of the Grey Knights.
"The Grey Knights were a single chapter created during an unregistered Founding shortly after the (official) Third Founding. Although technically Marines of the Adeptus Astartes, the Grey Knights are, to all intents and purposes, part of the Inquisition. They are listed as a Third Founding unit and, by the Emperor's instruction, were designated Chapter number 666."
Ah, how some things change and others stay the same!