Buy from a reputable company that you can be sure will tell you if you're buying "gray"...
Buy from any of the well know companies you may come across in camera magazines or that you see on the high street, ie, warehouse express.com, jessops, amazon.co.uk, to name a few..
You might spend a bit more money, but then there is a guarantee that you wont be purchasing grey market goods and it will come with a guarantee...
How do I know if I am being sold a gray market camera?.
The warranty card. If the camera is US-warranted you should have warranty documents from (in this case) Olympus America..
Henry PosnerB&H Photo-Video..
That said, there can be differences in how the divisions market for instance, the E-3 promotion in Europe includes a battery grip; purchases in the US can get a rebate; and purchases in Canada get a warranty extension. If you care about the promotions, you might have some difficulties with an import...
Buy from any of the well know companies you may come across in cameramagazines......
I've seen some less than reputable companies advertise in magazines..
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In my limited knowledge, Grey Market goods are those sourced from outside the Local distribution networks.For instance.
If Sony Japanese Factory sells goods to Sony distribution in Japan who sells to Sony USA who in turn sells goods to B&H and will have a deal that gives B&H certain rights in relation to warranty etc..
But they also might sell goods to a Local Distribution company in Japan with the same sort of local rights..
Grey Market goods sold in USA would be sourced from the Local Japanese distrbutor. Which would not be warranteed through the USA Sony network..
Whilst the goods are genuine articles they are sometimes not the same as those sold in the local market, for instance a Local product might be in Imperial units, feet, inches, miles, yards, pounds, ounces etc whereas the grey item could be in Metric units..
Forgetting any dodgy dealers the only problem you may face with grey market items in warranty. Depending on your confidence in the item you intend to buy you must weigh this against difficulties dealing with people outside the normal distribution chain..
However there are also grey items sold by reputable dealers like B&H, again it's likely metric versus imperial, and again if there is a warranty issue buy a Mack warranty then you should be pretty safe...