What are the special features of Thomas Gray elegy?

I assume you mean Thomas Grey's "Elegy Written in a Country Churchyard" (1751). Grey's " Elegy" is a lovely poem, rich in description and meaning. It isn't a formal elegy in any sense (since it doesn't really eulogize any particular individual) but is more of a reflection on death and the fragility of life.
The poem is set in a small country graveyard, and the poet is moved by this setting to reflect on death—and by extension, life. He praises the lives of the simple working people buried in this country churchyard.

Let not Ambition mock their useful toil,
Their homely joys, and destiny obscure;
Nor Grandeur hear with a disdainful smile
The short and simple annals of the poor.

He suggests it is perhaps better to live an unadorned life free from ambition than to seek fame and power at the expense of others. In this sense the poem venerates a certain brand of stoicism.
One of the special features of the poem is the language, which captures some of the stylistic informality of an earlier linguistic age. In this respect it sits on the cusp of the transformation from Shakespearean English to the modern, rigid form of the language we know today.
Finally, the last few stanzas, "the epitaph", are almost an attempt on the part of the poet to conceive of his own elegy:

Here rests his head upon the lap of Earth
A youth to Fortune and to Fame unknown.
Fair Science frown'd not on his humble birth,
And Melancholy mark'd him for her own.

In actual fact fame did smile on Thomas Grey, as this is one of the best known poems in the English language.