Grey Matters

What is the difference between Gray and Grey? Is there a proper situation to use either one? Several dictionaries show that both spellings can be used to describe objects, colors, emotions, etc. So, why is there two ways to spell this? The most logical reason that I can come up with is that perhaps this came from another country/culture. For example, the British spelling of certain words differ from American words such as color vs coloure (is that spelled right?!).