Meh, I live in the states so I use gray simply because I spell colour as color, and flavor as flavour, and all that stuff. I actually kind of like the british spelling, but just to be consistent with how I spell stuff overall, I use "gray" with the A over the one with the e.
I think the difference in spelling is based on American English and British English. Gray is spelled correctly when using American English, and grey is correctly used when using British English. Either way it conveys the same words so I see it as either