For some reason that evades me, I've always taken to using "grey" when I'm referring to emotion or mood, as in "feeling grey" (feeling, sad, feeling blue), and for dismal, as in a "grey day." Generally, I use "gray" when referring to color. It's possible that I may have been instructed to do this by a grammar school teacher in the early grades, but I can't pinpoint it. Does anybody else follow this grey/gray variance?
And, then, of course, there's the song "The Old Grey Mare." Did they mean the horse was feeling blue, or that he was old and gray? (or does "grey," perhaps, have yet another connotation when applying to animals...I seem to remember that slant in answer to a question about the horse in the song title somewhere along the line...?)