Michelle, while what you say about the warrenty is true, I've not heard that the lenses that Canon makes is any different between domestic and gray. A lot of people by gray market to save money (usually less than $50 but sometimes more). The better known stores (like B&H Photo and a number of others) provide their own warrenty for gray market, but you have to return the defective item to them and they get it fixed. It can take longer and it might not be by an actual Canon repair person, but they should be qualified.
I've never bought gray market camera or lenses, to me, saving the small amount isn't worth it, but I've known lots of people who have. As far as warrenty goes, none of Canon camera bodies or lenses I've bought have ever had to be worked on under warrenty. I had to pay to replace the shutter in my D30 well after the warrenty was over, but that was because I wore it out. Although I can't vouche for Nikon, I've heard rumors that they are just as good as Canon when it comes to domestic and gray market. But being a die hard Canon users, I've not put much stock in those rumors.
Mike