I bought grey when the 20D came out. I won't again. In the UK at least, you only save significant coin buying grey if you can avoid the VAT. If you declare it, and pay the VAT, you've not saved a significant amount, but you've got no dealer support and no warranty. If you don't declare it and Customs take an interest (they can tell the originating market from the serial number), they don't bill you for the unpaid VAT; they confiscate the goods. So while the probability of being caught is low, the exposure if you're caught is high. Each time you enter the country, you run the risk of being caught. But if you never take your camera abroad, the odds are excellent. Too risky for me, but suits many.
Personally, I've waited too long and can't wait any longer. The limited utility of my Mark 1 outside the studio (which I no longer have) is stopping me take pictures. I need to find my mojo again and, being someone who got into photography through a love of the technology, I think I'm all but there, this time.