Grey.
Grey (and curiously, I have exactly the same subconscious associations with the two spellings as delphica and dangermom).
Given the evidence already in the post, this is a rather sweeping statement (Lady Jane Grey?). Chambers says: “grey or (especially N Amer) gray”. Cambridge goes for “grey, US usually gray”. When even dictionaries can’t settle on a single answer, we’re going to struggle to arrive at one here! At least we can agree that there’s some difference in usage between the countries, but it’s not clear-cut.
http://www.chambersharrap.co.uk/chambers/features/chref/chref.py/main?query=grey
http://dictionary.cambridge.org/define.asp?key=34429&dict=CALD
Grey
I use ‘grey’, because that’s the conventional British spelling. I even use it when I’m describing something that’s American and grey (such as a squirrel). The only time I’ll use ‘Gray’ is as a proper noun (or, I suppose in conversations like this one), but of course ‘Grey’ can also be a proper noun.
I use “grey”. It looks cooler. 
Gray. To be American and use the British spelling smacks of pretention. And I’m pretentious enough already!
Grey.
I had to think about it, but I’m pretty sure I usually use grey.
Joel Gray, of course. 
Grey, and me, too.
Grey here. Just seems natural somehow, though I’ve known a few people with the surname Gray.
It just depends on my mood when I’m writing and whether I can annoy someone by using one or the other.
Off-black.
Interchangeable. I do quality testing for the automotive industry, and I see both spellings frequently. I’ll spell it however the customer does.
Grey. For years I used it to demonstrate the suckiness of computer spellcheckers, too.
I solve two of the great problems of our age in one stroke.
I miss out the ambiguous letter.
(oh, come on! no-one else saw that? :D)
Now we just need to find 11 more ways to spell it and we’ll have 14 kinds of grey in a faultlessly performing dictionary.
So, question. You’re at High School in the US and you hand in a written essay that uses the spelling ‘grey’ to describe the colour. Would you get corrected by teacher? Because if I’d ever spelt ‘gray’ in my english High School, it would’ve been red marker pens at dawn.
I thought “gray” was British. You live and learn. Anyway, I use whichever one feels right at the time, much like “realize” and “realise”. My usual eidetic memory for spelling breaks down when it comes to those particular words.