In American English, both "grey" and "gray" are considered acceptable and it's not uncommon to see both used here in my part of the US. Personally I usually write "grey" but if it's a particularly dark shade I might say "gray" - but that's personal preference rather than any convention I've seen elsewhere.

EDIT: There do seem to be a couple of blogs that come up in Google pushing the idea of a difference between US/UK spellings, but that's definitely not something I or most people I know grew up with. Other search results indicate that there is only a modest correlation with location. Perhaps it goes more one-way, with both being in common use in the US but "grey" exclusively preferred in the UK?