Interesting. In Australia, grey market is increasingly the most cost viable option. On average, lenses are $2-300 more retail and cameras often $4-500 more... We have no B&H.
The only three things I've bought that weren't grey marketed were 2 lenses and my 580EX II. My 24-70 II and 70-200 f/4 IS.
The 24-70 II was actually really cheap when I bought it, and it was around October when I ordered it. But then again I was close to the salesperson and she done me a deal. I got that for $2190 AU when on the site that I usually look to with really cheap prices (and did grey market imports) was showing it at $2350. And the 70-200 f/4 IS was bought in store for $1800 AU (yeah. Massive rip-off). And also the 580EX II was bought in store from around $580 (but then when I travelled to Philippines I saw it there for just under $500).
If you do buy grey market, make sure it's a highly trusted store. I bought my first DSLR (60D) just over 2 years ago from DigitalRev and I had zero problems. Then I bought the 10-22 from there with still no problem (regret not getting the 17-40, but didn't consider upgrading to full frame then). I even bought my 5D mark III from e-infinity and had absolutely no problems!
It's up to you if you want to risk it for the cheaper price. But be warned that it would end up such a hassle if a problem were to occur. Can't always get what you want.