Any tractor made by a manufacturer that is NOT designed to be imported into the USA but is imported here. It is NOT illegal to do that, but it does create some issues. (many parts do not cross over, although usually getting belts, filters and hoses present no real problems)
For example, Kubota makes tractors specifically for the US market, on those tractors it supports them with parts and service. Kubota will not support a grey market Kubota that was imported here.
Some other brands, like Yanmar used to be imported here, and Yanmar is still here. Yanmar supports the tractors that they imported, but they do not support the grey market tractors.
Still other brands didn't have a formal presence here in the USA and therefor all of their machines are grey market.
In every case of grey market tractors, there are some folks who will support them to the extent that they can. Some dealers specialize in grey market machines and import a relatively limited number of models that they can then support to a moderate degree with parts and service.
Consequently grey market tractors are bargain priced, they can be excellent deals for those who understand what they are. There are also some illegitimate operators out there who are selling so-called rebuilt/refurbished grey market tractors with low hours . . . there are horror stories from many unwitting buyers (there is a lot of this crap on EBAY, and much of what they advertise is blatantly wrong but many buyers are not aware of the errors and many of the sellers simply are not willing to correct their errors/claims and/or stand behind their product). If you buy grey market, there are actually several honest dealers who specialize in them, I'd suggest you only buy from one of those guys.
Bob nailed it. Also, just because something is a grey doesn't mean it is low quality. If you took a brand new Toyota Camry to Tokyo and sold it, it would be a grey market.