Gray market stuff (watches specifically)

[renodoc]

My wife bought me a Tag Heuer link a couple years back. She shopped online and I suppose got a decent price, but the watch didn't come with a factory warranty.

Seems that "authorized dealers" are not allowed to discount these watches below the suggested retail. So now, I've found a pretty cool ladies watch for the wife and its about $4k retail. I've seen it offered as "new in box" from the gray market for about $1K less.

How does this work exactly? Where do these watches come from? What happens to the factory warranty card? Is it worth the extra to go from an authorized dealer? Anyone been burned down this path?

Google, etc has been remarkably silent on this, so if you can point me to a decent reference I'd appreciate it. Also, it seems this sort of market would apply to a number of other "luxury items"