When shopping for your Canon cameras and lenses, you will likely run into 2 versions of the same camera or lens. One will be the "USA" model and the other will be denoted as "Gray/Grey Market", "Imported" or "Direct Import".
The "USA" Canon lenses are imported to the US by Canon U.S.A. "USA" Canon lens warranties are supported by any Canon service facility worldwide. They are also eligible for Canon U.S.A. rebates – both instant rebates and mail-in rebates.
The "Gray/Grey Market", "Imported" or "Direct Import" Canon lenses are directly imported by the retailer or their import agent. They "may not be eligible" [Canon] for the Canon U.S.A. warranty. Word on the street, though, is that Canon covers gray market lenses under their standard warranty if an invoice can be produced.
Most reputable retailers will provide their own same-as-manufacturer's warranty on "Gray/Grey Market", "Imported" or "Direct Import" Canon lenses. Instead of sending the lens to Canon, this warranty has you sending requires you to send the item to the retailer or the retailer's service partner.
eBay is a common outlet for gray market cameras and lenses. Most reputable eBay retailers selling "Grey Market" goods do provide a warranty with their products, but the warranty may not be identical in duration or coverage. Also, as many eBay auction items are the result of breaking down various camera and lens kits and with the individual components being sold separately, you may receive "white box" packaging and/or cheaper third-party accessories. Read the auction details carefully to determine what kind of warranty and accessories are provided.
I have yet to find a difference. These Canon cameras and lenses are made in same factory using the same parts and are identical in the finished product form. Reputable retailers would make any differences clear before you bought the camera or lens. Scam retailers will give you lines such as "You have ordered the plastic mount gray market version of this lens". If you hear that line or any similar upsell tactic, consider a red warning flag raised.
Note that I am not talking about counterfeit items here. There is far more risk in buying a product made by a third party and labeled to pass as a Canon product. Cameras and lenses are very unlikely to be counterfeited, but batteries, chargers and similar items are much more easily copied. I avoid counterfeit items by buying accessories only from trusted retailers.
The attractiveness of a Gray Market Canon lens is solely price. The imported version is nearly always cheaper and sometimes even cheaper than the USA version with the rebates (when available).
The decision is yours. I have purchased more than one copy of the "Gray/Grey Market", "Imported" or "Direct Import" lenses. If the USA is not appreciably more expensive, buy it.
For more information, check out Canon USA's Official Grey Market Information Page.
Note that Nikon U.S.A. does not honor warranties or provide service on gray market Nikon cameras and lenses.