It really depends upon what your source PixelFormat is. Assuming your source is PixelFormats.Bgra32 and that you want to go to grayscale, you might consider using a target pixel format of PixelFormats.Gray16. However, Gray16 doesn't support alpha. It just has 65,535 graduations between black and white, inclusive.
You have a few options. One is to stay with Bgra32 and just set the blue, green and red channels to the same value. That way you can keep the alpha channel. This may be wasteful if you don't require an 8-bit alpha channel (for differing levels of alpha per pixel).
Another option is to use an indexed pixel format such as PixelFormats.Indexed8 and create a palette that contains the gray colours you need and alpha values. If you don't need to blend alpha, you could make the palette colour at position zero be completely transparent (an alpha of zero) and then progress solid black in index 1 through to white in 255.