Pinot Gris / Grigio are the same thing. Actually, in Alsace, they sometimes call it Tokay Pinot Gris (not to be confused with the Hungarian Dessert wine, Tokay). These are regional differences in the name only. Grigio seems to be what they call it in Italy where the best examples come from the Alto Adige/Trentino region. If you're a big PG fan, you have to try the ones made by Elena Walch as her single vineyard versions are some of the best in the world. The 2006 Castel Ringberg is amazing. Another excellent choice is any of the Alsatian versions made by Zind-Humbrecht. Truly artisan wine but a distinctively different in style than the Italian and new world versions.
To top that off, there are also some pretty good examples available from the Okanogan and New Zealand. Cheers!