Grey market simply means that it's being sold outside of the market
authorized by the manufacturer, not that it's stolen property or
illegally sold.

What it means for you, the end-user, is that the product is not
covered under warranty, you will most likely not be able to get
support for the product, and that the manuals and software may not be
in an appropriate language.  Updates and upgrades may also be
difficult to come by.

The reason they're cheaper is that they're not imported via the
standard distributor channels.  They're purchased at or near wholesale
in their native market (typically Asia) and then shipped to another
country.  Since you're not dealing with an export company, an import
distributor, and standard sales channels with attendant middle men,
the cost is lower.  However, you sacrifice the niceties of any sort of
backing from the manufacturer.