Regular grammar is either right or left linear, whereas context free grammar is basically any combination of terminals and non-terminals. Hence you can see that regular grammar is a subset of context-free grammar.
So for a palindrome for instance, is of the form,
S->ABA
A->something
B->something
You can clearly see that palindromes cannot be expressed in regular grammar since it needs to be either right or left linear and as such cannot have a non-terminal on both side.
Since regular grammars are non-ambiguous, there is only one production rule for a given non-terminal, whereas there can be more than one in the case of a context-free grammar.
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