Actually, I have never bought grey market cameras. However, grey market does tend to get a bad rap. The decision depends on your comfort level, but there are a few vendors out there who are reputable and come right out and tell you that they are grey market, and offer their own warranties. Some of these vendors have been around for years, so depending on how much you're saving (in the case of the D1x a couple of thousand dollars) this may be worth it to you.
A side note - many people assume that there is something shady about grey market (inferior quality, knockoffs, somehow illegitimate). Actually, grey market refers to products that are meant to be sold overseas which have found their way to the US market. In some cases, these may be products that have been discontinued in the US market but still produced for the overseas market - so it's not always a bad thing if you're looking for a particular item that can't be bought in the US. That being said, I wouldn't buy from a vendor that didn't come right out and say that they sold grey market and offered their own warranty.
Again, it comes down to your own comfort level, how much you are saving, and availability.
Don't forget, you can also call Nikon (They're great and very helpful) and see what their policy on repairing grey market product. If it's just that it won't be covered under the warranty, but they will repair it and bill you, well then that's a calculated risk that you take. also find out what the return/exchange policy is with your vendor. I've bought a lot of stuff, and found that if something is going to go wrong, it usually happens within the first 30 days.
So far as Nikons go, I've always bought their top of the line stuff, and knock wood, I've never had a problem with their quality. Can't talk about consumer grade since I don't usually buy it. The D1X is a professional camera, so... well again, it's really up to you, and how much you want to save, and how much risk you want to take.