Gray, 55, had been in charge at Hillsborough for around 18 months, but is now on his way out as the club head in a new direction under owner Dejphon Chansiri.
The favourite is currently ex-Brentford boss Mark Warburton, who left Griffin Park despite taking the Bees to promotion from League One in 2014, and then into the Championship play-offs in May of this year. The 52-year-old is highly regarded and would be a hugely ambitious appointment for the Owls.
Among the other favourites are John Carver, who left his position as interim manager of Newcastle United earlier this week. A former Sheffield United caretaker manager, the 50-year-old struggled at St. James' Park and wouldn't fill fans with confidence.
Further down the list we see ex-Owls striker Paolo Di Canio, who has been out of work for almost two years having left Sunderland in 2013. The controversial Italian scored 17 goals in 48 games for Sheffield Wednesday as a player, and worked wonders with Swindon as a manager before his ill-fated stint with Sunderland.
Other candidates include Gus Poyet - the man who replaced Di Canio at Sunderland - as well as two former Leeds strikers in Brian Deane and Jimmy Floyd Hasselbaink.
Gray's sacking suggests that there is a big, ambitious move coming from Sheffield Wednesday - and fans will be keen to know who Chansiri has lined up to take over at Hillsborough this summer.