Wow, I am impressed with the uniformly poor experiences everyone has had with their grey market cars. My experience with something like 6 of them sofar has been great.
I only imported cars that had support for the mechanicals and body from a US version of each. When I could, I selected cars with the US emission system installed as an option, which became available in the last half of the 80's. I brought in 5 W123 chassis cars and one W201 car. All have run with little or no trouble over 150,000 miles. I know because all but two went to relatives and the other two were sold locally.
Anything can and will go wrong given an opportunity, and grey market cars surely offer more opportunities. The first thing you need to do is be selective about the vehicle you import, and try to find one as similar as possible to its US equivalent. I would not recommend a specially tuned (engine and suspension mods) vehicle unless you are wealthy. But that is true even if the tuning specialist has a domestic facility or has an affiliation with the factory. Mercedes parts are more expensive because they are not made in the same quantities as Ford or Chevy parts are, and they sometimes have extra features. This is much more so with AMG or Koenig or other tuning house products.
So, if you import a car outside the manufacturer's protocol, be prepared to become very familiar with the vehicle, get a good manual and try to get microfiche or CD's for parts, and service and maintenance routines. Also be ready to substitue US model parts as in some cases these parts (cooling system sensors and the like) are different only in the guts, and they perform better in our climates. You will be surprised how few parts are actually different (like filters, shocks, brake pads and such "consumables").
The big motivation to buy from the grey market in the early 80's came from the extraordinarily strong dollar making a European version of the car about 70% the cost of the "equivalent" car in the dealer's showroom. If you could take a car with fewer amenities, like no electric seats, a manually controlled airconditioner, and MB-tex interior upholstery, the car could be yours for less than 60%. There were a number of places making a business of converting the cars, and it generally took about 90 days to get the approvals you needed to register the car legally.
If someone let a perfectly good car get crushed because they did not know how to federalize the vehicle, I wish they had called me first. While it is work, a lot of cars were successfully converted by regular guys, not Einsteins.
With all that said, I would be reluctant to attempt it today, just because the payoff is not there anymore. I would love have a 2001 C270CDI, or an E320CDI, but that would violate the logic of only buying something that is supported in some way here.
Good Luck, Jim
1986 Euro 190E 2.3-16 (291,000 miles),
1998 E300D TurboDiesel, 231,000 miles -purchased with 45,000,
1988 300E 5-speed 252,000 miles,
1983 240D 4-speed, purchased w/136,000, now with 222,000 miles.
2009 ML320CDI Bluetec, 89,000 miles
1971 220D (250,000 miles plus, sold to father-in-law),
1975 240D (245,000 miles - died of body rot),
1991 350SD (176,560 miles, weakest Benz I have owned),
1999 C230 Sport (45,400 miles),
1982 240D (321,000 miles, put to sleep)