According to a couple of sellers I spoke to on Ebay, the seller warrantied point & shoot digital AVs sold on Ebay are grey market only. They order wholesale lots from either Singapore or Dubai, and sell it in India avoiding the custom's conflict.
However that doesnt mean that you dont get warranty on these products. In fact you can officially register these cameras on the manufacturer's site. And if a friend of mine is to be believed, he got support from Sony India on one digicam he purchased through Ebay. In many case though, the faulty product has to be sent to the seller and hope that he returns it to you on time !!!
So the pro is that you get genuine product with a huge "discount", and the con is that you might have to suffer for support.
P.S. I have bought a Panasonic TZ5 from Ebay, primarily for this cam is not at all available in India through Panasonic India, not for saving on customs. I hope everything goes well this one !!!