I find it depends on the price and saving. Even more so with some companies than others. If I am buying a lens less than £500, I'm more likely to buy it grey market than one over £500.
But anything over £500 and I really have to take into consideration, whether its worth the saving for the extra hassle if something goes wrong. E.g. my 300mm f4 was from Wex, even though it as £250 more than Digitalrev, as Hdew didn't have it and Digitalrev have screwed me over on a broken lens before.
For Greymarket items, Hdew is my go to shop. Their customer service is great, they're better than Digitalrev and also cheaper on a lot of things. E.g. Tokina 11-16mm DXII was £329, Digitalrev wanted £375. Hdew is also in the UK, so you have the benefit of distance selling regulations etc to protect you if stuff goes wrong. With Digitalrev, you're at their mercy as to whether they will cover your damaged lens.
I will buy something from Digitalrev if the saving is huge, and if I don't mind risking it being broken. The thought of risking another lens purchase from them makes me cringe. They sent me a lens last April which arrived with a smashed up filter ring and scratches on the lens, and refused to deal with it as it wasn't manufacturer damage. Their site says you're covered for transit damage, but they wouldn't do jack. Luckily it was only a £200 lens.
I'll buy used and refurb from Wex and Mpbphotographic. At least wex offers a 1 year warranty on their refurb and can have good offers.
I buy some used stuff off eBay but it tends to be less than £100 or things like tripods and filters.