Consumer Reports generally rates both Nikon and Canon highly in terms of product reliability. That said, if something does go wrong with your gray market camera, it's not going to be under warranty under normal circumstances. A lot of gray market dealers (many of them, coincidentally or not, based in Brooklyn) will sell at a knocked-down price, but there's a series of catches. They may sell you ONLY the camera sans lens caps, eyepiece, body cap, manual, software, LCD cover, etc... they'll happily sell you those items separately (having first removed them from the box they came in with the camera). They'll also sell you a cut-rate service agreement, if you'd like, that you would've gotten for free had you bought the legitimate product. The savings you may've gotten on the front end will vanish like steam from a bathroom mirror if something happens to the camera.
So it's kinda like buying from eBay or Craigslist. Nobody's saying you can't, or even shouldn't, for that matter. Just go in with eyes open, and be well aware it's strictly Caveat Emptor.
Best bet: Bite the bullet and buy the legitimate product from a legitimate dealer. Nikon's site has a PDF that's got licensed dealers and repair centers from coast to coast.