I've been reading different tutorials on how to get rid of the small Tumblr gray box on certain posts.

Method one

Use the HTML edit mode to edit the URL of your image in your post.
http://24.media.tumblr.com/tumblr_mbk7rf4f7b1r47jkb.gif
See the little “24.” in the URL above? That is what’s causing your gray boxes. When pasting the URL in, just erase the “24.” The image URL should now look like this:
source: telenahelps

Method two

When you create a post on Tumblr that has an image in it, Click the 'Photo' insert icon  option. Also make sure you stay within the Tumblr image posting guidelines.

Method two is the only one that's worked for me.