Personally, I wouldn't take the risk of paying premium price for a camera or lens and not being able to get it fixed - warranty or not. Then you have the issue of resale value being nil if it breaks and cannot be fixed. Independent shops can't buy Nikon parts now, and their authorized ones do not always have all the equipment (e.g. A VR "shaker table.") to fix some models so they have to forward them to Nikon who will promptly turn down a grey.
Now if it is something that is cheap and disposable like a flash or a P&S Coolpix, maybe not an issue as they can be trash-canned easily. Moving up to some $18K lens I wouldn't own a grey if it cannot be fixed if dropped, etc.
We had a local camera store that sent an old Nikon (grey market) in and they actually pulled a key component out of it and refused service. Guy sold it and second buyer sent it in. Came back unfixed from Nikon again. He found an independent shop who tried to order the part, back when Nikon sold parts to the independents, and Nikon refused shipping them the parts from the serial number. Thing couldn't get fixed anywhere as they "black-balled" that camera body. Store manager gave the guy $10 for it and kept it on the shelf as a selling point on the grays verses buying from them.
SG