I shall be in Phoenix in January and will certainly buy a new camera equipment while there due to the weak dollar. It bothers me not that on returning to Europe I will lose the warranty. I have used Nikons for 20+ years and never needed the warranty anyway. The D2H body is $750 cheaper in the USA than Europe as an example, the 17/55 lens $450 cheaper. Moving to smaller cameras the Canon S70 $700 as opposed to $370. The GPS Garmin Quest I shall also buy at $220 less. If you can accept the lack of warranty, so be it, you are getting the same goods, not defective goods as has been suggested.
As regarding "grey market" the thesaurus defines it as illicit commerce in the same way as black market but today it generally refers to items not designated to be sold in the country in question. Some cameras for example, while being internally the same, bear different names. The Canon Rebel for instance is american market and the Canon 300D european but the same thing. Kalypso is entirely correct.