Speciation results from the progressive accumulation of mutations that decrease the probability of mating between parental populations, or reduce the fitness of hybrids - the so-called species barriers. The speciation genomic literature, however, is mainly a collection of case studies, each with its own approach and specificities, such that a global view of the gradual process of evolution from one to two species is currently lacking. Of primary importance is the prevalence of gene flow between diverging entities, which is central in most species concepts, and has been widely discussed in recent years. Here we explore the continuum of speciation thanks to a comparative analysis of genomic data from 61 pairs of populations/species of animals with variable levels of divergence. Gene flow between diverging gene pools is assessed under an Approximate Bayesian Computation (ABC) framework. We show that the intermediate "grey zone" of speciation, in which taxonomy is often controversial, spans from 0.5% to 2% of net synonymous divergence, irrespective of species life-history traits or ecology. Thanks to appropriate modeling of among-loci variation in genetic drift and introgression rate, we clarify the status of the majority of ambiguous cases and uncover a number of cryptic species. Our analysis also reveals the high incidence in animals of semi-isolated species, when some but not all loci are affected by barriers to gene flow, and highlights the intrinsic difficulty, both statistical and conceptual, of delineating species in the grey zone of speciation.