1) Examine the warranty card. If it's a USA warranty, it will say so. If it's an "international" warranty without a specific USA warranty, odds are it's a grey market camera.

2) Check the charger plug on the battery charger. I think my D200 charger cord says, "USA" on it.

3) Go to the Nikon's website and try to register it.

Here's what Nikon says:

If the deal was just too good to be true, it probably was. One of the first indicators that a piece of Nikon merchandise might be Gray Market is if the price is considerably less than most other resellers.

Additionally, a genuine Nikon Inc. USA product will include an Owners' Manual and Warranty Registration card in English. It will also include power cables (if applicable) designed for US style plugs. Any other language on the printed material or wrong cables indicates a Gray Market item.

Another indication of a Gray Market product would be photocopied manuals or manually created software CD's. Nikon Inc. USA always provides professionally printed or duplicated materials with genuine products.
References :
Here's where to register your Nikon camera:
http://support.nikontech.com/cgi-bin/nikonusa.cfg/php/enduser/cci/prodreg/product_registration.php

Here's the gray market page on Nikon's website:
http://support.nikontech.com/cgi-bin/nikonusa.cfg/php/enduser/std_adp.php?p_faqid=331&p_created=1034187768&p_sid=8qrk2RJi&p_accessibility=0&p_lva=&p_sp=cF9zcmNoPTEmcF9zb3J0X2J5PSZwX2dyaWRzb3J0PSZwX3Jvd19jbnQ9MjgmcF9wcm9kcz0wJnBfY2F0cz0wJnBfcHY9JnBfY3Y9JnBfc2VhcmNoX3R5cGU9YW5zd2Vycy5zZWFyY2hfbmwmcF9wYWdlPTEmcF9zZWFyY2hfdGV4dD1VU0E*&p_li=&p_topview=1