All three recent biographies of Mary I highlighted the singular mercy the first Queen Regnant showed to the young woman who had temporarily displaced her and to her family immediately after coming to the throne. Guilford Dudley and Lady Jane Grey could have been summarily executed, but Mary knew that John Dudley, Lord Northumberland bore the greater share of blame for the plot to change Henry VIII's will and divert the succession. They were tried in November of 1553 and found guilty (they actually pleaded guilty), but were held in some comfort at the Tower of London. Their brief rule had also been spent in the Tower, but Jane had refused kingship for Guilford; whatever reluctance she might have felt, once she became Queen, she intended to hold the power as Queen Regnant exclusively and she intended to reign for "God's Glory" which meant of course that she would continue Edward VI's Reformed reforms. Guilford certainly wanted to reign and he presided over the Council meetings held between Edward VI's death and Mary's overthrow of Northumberland's plot.
It was only after the Wyatt rebellion that Jane's continued existence as a focal point for overthrowing Mary became too great a liability, especially with Philip of Spain on the way. Jane had little to do with Wyatt's plans--in fact, Elizabeth was probably more guilty of collusion with Wyatt's plot than Jane had willingly been with her father-in-law (at first, at least). Unfortunately for her, however, her father had taken part in Wyatt's attempt to depose Mary to place Elizabeth and Courtenay, an erstwhile Catholic candidate as husband for Mary, on the throne and even though Mary regretted it, She ordered Jane's execution. Jane watched her husband be taken to Tower Hill for execution and his headless body brought back the morning of February 12, 1554 while she was scheduled for a private execution at Tower Green. He had asked to meet the night before but she refused, saying it would be too painful and certain they would meet again soon in heaven.
At her execution, she acknowledged her guilt in the one case and declared her innocence in the other: "Good people, I am come hither to die, and by a law I am condemned to the same. The fact, indeed, against the Queen's highness was unlawful, and the consenting thereunto by me: but touching the procurement and desire thereof by me or on my behalf, I do wash my hands thereof in innocency, before God, and the face of you, good Christian people, this day."
The Delaroche painting romantically depicts her moment of panic when she could not find the block after being blindfolded as her ladies swoon behind her. John Feckenham, the last Abbot of Westminster accompanied her on the scaffold, sent by Mary before to help Jane prepare for death. As I've noted before, although they strictly disagreed on religious matters, Jane and Father Feckenham at least respected each other.
I have not read Eric Ive's recent study of Lady Jane Grey's claim to the throne, but I agree with Leanda de Lisle in The Sisters Who Would be Queen: Mary, Catherine, and Lady Jane Grey: A Tudor Tragedy that "The sixteenth-century Jane was a much more interesting and ambivalent figure than the traditional stories allow." Since Guilford's brother Robert had become Elizabeth's great favorite, the story of their brief reign and their executions were soon part of Elizabethan propaganda. Her seeming innocence and evangelical fervor also made her a likely target of Foxe's myth-building.