If you want a particular phone model (or colour) that hasn't been released in Australia, then buying it as a "grey market" import can seem like an appealing way to solve the problem. But as well as not getting any local warranty support, you might run into trouble when it comes to making 000 emergency calls.
As local HTC honcho Anthony Petts pointed out at the launch of the Tattoo and Hero phones earlier this week, phones that haven't been through certification in Australia may not implement emergency calling standards correctly. That doesn't mean you won't be able to dial 000 with your Australian SIM plugged in, but if you end up in an area where you have to use another operator for an emergency, there could be problems or the wrong number might get dialled.
Even allowing for the fact that HTC would obviously rather sell you a more expensive locally-supported phone, it's a point worth bearing in mind. Signal problems don't just happen in remote bush areas, as a quick wander around any CBD will attest. There's a review of 000 phone standards due in December, but whatever its findings, there's unlikely to be much change on this front.