I've bought some small stuff on Taobao, but I've never trusted it for bigger ticket stuff (electronics). Like LD mentioned, I'll check out Taobao, find their local shop (there's a local pulldown tab that shows cities) and then go there in person. 100% of the time when I have done this (sample size: a dozen), when I walk up, the vendor quotes me a price 100-500 more than their Taobao shop. I then walk over to their computer, pull up their Taobao shop and they say, "Oh! You know Taobao!?!?! OK, I give you Taobao price. You so clever!" I then knock it down a little more by pointing out that I actually made the effort to spend my time and money to actually come to their shop plus they save the delivery fee they'd have to pay through Taobao to get it delivered.
Bonus: you actually can get your hands on the thing to see if it's legit. Only once did I find a fake being sold by a Taobao merchant using this method. The fake wasn't the product I had gone there to purchase - that one was real - but while waiting for them to process the transaction, I was looking through other stuff they had on display and noticed they had the same phone that I had currently (a Nokia). I asked the price and they quoted me some ridiculously low price. I asked to see it and they pulled it out of the case and handed it to me. It didn't feel the same in my hand as my own, which I then pulled out of my pocket. The sales clerk kind of giggled, and said, "Yes, this one is fake. We sell both fake and real."
So, yeah, shop for prices on Taobao, but visit their B&M shop for a hands on.
On the other issue of grey/gray market stuff from Hong Kong sold here: Yes, the prices will be a bit cheaper than mainland sold stuff because, {a} they've avoided paying the import tariff, and (b) China imposes some kind of tariff on devices which use processors manufactured outside of China (which almost all devices use because Chinese manufacturers haven't been able to yet manage to replicate the necessary nano technology for manufacturing advanced chips.
As for warranty coverage on Hong Kong stuff: The item I bought from that shop I mentioned above, was real - my first Macbook - but which had been sourced from Hong Kong and the price was cheaper. When I had a problem with it later, the official Beijing Apple Store handled it under the Apple warranty no problems. With Apple products, once you buy them and when you are setting them up (i.e. turn them on for the first time), there is a screen which will pop-up in the process where you can "register" the product assuming you are connected to the Internet. Once done, that product is registered to you on that date and warranty coverage begins, and if you ever go to an official Apple Store for service, that's basically all they ever look at.
Other devices may vary, but I've never had a problem with Apple. If the device you bought is a real Apple device (and they are VERY hard to fake), Apple will handle it worldwide.