Ahh OP = Original Poster - or the thread starter - ergo the first person to post
Grey market depends on the dealer, I've had good luck with grey market in the past without any issues, however some brands have clamped down on it a lot; Nikon USA (I can't speak for the EU division) I know won't even look at any equipment for repair if its not bought within the USA, and that's not just warranty repairs, from what I've heard they won't even repair if you pay them; so you have to ship back to the original regional repair groups or go independent. I think Canon is more lenient or at least have been in the past.
Grey market just means that legally bought equipment enters a territory outside of the normal distribution channels and is generally legal and safe barring the repair/warranty aspects. Black market is a whole other matter and should be avoided for everything (because that's basically your stolen stock or gained by illegal methods).
Ebay can be good for some deals; forums are another outlet though any person to person trades always come with a degree of risk. Always pay via an approved safe method and if using services like PayPal always use the "commercial" option not the "family" option as the former has full consumer protection whilst the latter is just a bank transfer (ergo you can't get a refund).
Local camera clubs are another option and oft have sales or are good to network with incase someone has some gear they no longer want.