Greylisting is always optional (although it might be on when an account is first created for you), i.e., you can switch it on or off as you prefer. (See Adjusting Spam Filters.)
When greylisting is active, it deliberately delays incoming mail the first time it is received from an unrecognized sender sending from a specific host. This delay is achieved by sending a temporary rejection code to the host (definition) trying to send mail.
Subsequently, that sender's email from the same host is accepted without delay. Most spam is sent by virus-infected machines (usually running Microsoft operating systems) that try sending the spam message only once to each destination. If that attempt fails, they typically do not retry, but move on to some other destination.
Greylisting eliminates such spam.
Legitimate hosts will keep the message queued when they see a temporary rejection error, and will resend it and it will get through on the next attempt.
One minor disadvantage of greylisting is that you will notice delays in some incoming mail. Generally, mail from regular correspondents will reach you without delay. The greylisting system makes a note of who has already sent you mail from a certain host, and lets subsequent mail from the same person and host go through without delay. However, first-time mail from new correspondents will encounter a delay of anywhere from a few minutes to several hours. Administrators of well-run sites are aware of greylisting and generally configure their machines to retry a few minutes later to minimize greylisting delays. Poorly-administered sites, however, might not retry until many hours or even days later.
Of course, switching greylisting off entirely will eliminate delays in incoming mail caused by greylisting. But this also prevents you from benefiting from the extremely effective ability of greylisting to block incoming spam.
Assuming you decide to continue using greylisting, one way of minimizing mail delays is to set up a separate email address on which you keep greylisting switched off. New correspondents can be asked to send you mail at this separate email address. Depending on your account type, you will be able to set up either a separate domain or a separate email address and switch greylisting on and off on it.
For more detailed general information about greylisting, please see these off-site pages: