Never bought a grey market lens. I might do it for something simple like a prime lens if there was much of a price difference, but usually it's not that much. When you get into zooms, AF and/or VR, personally I'd just as soon have the five year warranty. However, I've never needed it...
I'm with Steve. From what I have seen, there is only about a $10-$20 difference. in the price. For me, the risk of needing the warranty, isn't worth the small price difference
"I thought that because fewer wolves meant more deer, that no wolves would mean hunters' paradise. But after seeing the green fire die, I sensed that neither the wolf nor the mountain agreed with such a view."
Aldo Leopold
All the lenses are imported....some are made for usa market, some aren't.
In the case of Nikon, the lens itself is probably the same - you're just paying extra for a lens that has been sold thru Nikon USA. That's where you get the warranty... I'm guessing that B&H calls it "import" because it sounds nicer than grey market.
Your experience may be vastly different, but I have owned many, many lenses and have only had one that needed repair. Ironically, it was the Nikon 70-200mm AF-S VR. I bought it USA and had it repaired under warranty. It is an expensive (and complicated) lens and worth the price difference to go USA.
Generally speaking, I wouldn't worry about it, though, on less expensive and simpler items like a 50mm f/1.8 or a 70-300mm G lens. The good importers like B&H give you a year waranty which will cover you in the event that you get a bad lens. After that, you should be okay. As I said, I've only had one lens fail...
I would say USA for sure for anything over $600, or with VR or for that matter any good lens with AF-S. The complicated ones have a higher failure chance.
We bought the Nikon 85mm AF 1.4 from B&H last year. They offered both US and Grey, but the difference was only about $150.00, while the lenses were around 1,100.00 I recall. We got the US model as we did not want to fool with warranty issues.