@Grumpy
Nope. If you don't pay applicable taxes then it's a black import. This is a matter of definition: if there's illegality of any sort involved, whether it's theft, illegal production/import or tax evasion, it's black market.
John Woods is quite right - to call the practice "grey market" in the first place is to do the work of the corporates in spreading FUD. "Grey" implies something between between legal (white) and illegal (black), but there is no such thing. You are either guilty of breaking taxation or import laws or you're not.
To reinforce what has been said above, price discrimination is a perfectly normal part of the free market. In a perfect market everyone would buy Coke at the local corner store until Coke started selling at "grey import" prices to the supermarkets as well, but, as everyone knows (including genuine economists) perfect markets don't exist. So, in a real-world free market, grey imports are a perfectly legitimate way of getting a better deal at the expense (freely accepted) of reduced consumer protection or a bit of research/luck.
Legal barriers, on the other hand, which do absolutely no good to consumers or producers other than the corporates with a stock of brown envelopes, have nothing to do with price discrimination or free markets, it's just corporatism at its usual corrupt work. Take the matinée example: suppose you were in a group of childless 20-somethings, i.e. the usual market for higher-price evening showings, and you one day decided to go to the cheaper matinée, but when you got there a policeman told you weren't legally allowed to buy cheap tickets and you'd have to come back in the evening. That's how it would work if it worked the same way as "grey imports".