Currently my car is being totally reworked, so at this time I do not have it insured or licensed, but my dad owned and drove it for the better part of 10 years over here before he handed the car over to me and had no problems. Had insurance and everything.
My car is not technically "grey market" though since it was shipped over here by an individual (my dad) for personal use, but it has the German VIN nonetheless.
As far as the crap that sixto listed...I am reversing as much as I can on that list. My headlights/wipers are being returned to euro, I removed the bumper "reinforcements"....they put in a rusty iron bar with the sorriest welding job I had ever seen. Wouldn't have done a thing in a wreck. They also pushed my bumpers out about 1/2 inch. So those went to the trash heap. I'm leaving the taillights. Never had a 3rd brake light installed. And since you can't really notice the side beams, I'm leaving them, and they seem to have actually done a pretty good job on them. With emissions, the only thing they did was retrofit a cat, which also was a sorry job, so I am fitting a new high flow unit. If they did anything else to my car as far as engine electronics, I probably don't know about it. I got a German spec sheet for my car and I am taking to a tech and telling him to check all of it and adjust it to German spec if it is off.
I am not ever selling my car though, so I won't have to worry about getting $3500 out of it!!
I would also kill for an 88-91 euro 560SEL, or better yet a 560SE (rare)....279-300HP!!