Grey. 'Why grey?' he wondered, as he thought of those five sent to oppose him. White was easy to understand, Curumo had always had a 'more holier than thou' attitude; he couldn't imagine him coming in anything other than white. Brown, too, was predictable. Aiwendil was one of Yavanna's people, a true child of the earth. From what Sauron could remember of him, he was devoted and simplistic. Well, there were worse faults, though Sauron couldn't see how he was suppose to hope to stand against him. Aiwendil was no threat. Pallando and Alatar had come together, and the unity of their blue garb fit well for the two friends.
And then there was Olórin. Grey. Why had his older brother come in grey? Though he had far more important things to think about, namely: his Ring, where was it, his Precious, he needed it back, where in Arda was it? he couldn't stop himself from wondering about his brother's choice of garb.
Grey was a neutral color, balanced between black and white, but his brother was certainly not neutral. The color of wisdom, and Sauron admitted that fit his brother. The color of storm clouds, but the love of storms fit the younger brother more than the elder. The color of ashes, but from what he had seen and heard, his brother's flame was still bright.
Most of all, the color grey was an enigma, and the part of Sauron that was still the Maia he had once been mourned the fact that his only family in Eä was as much of a mystery as his choice of clothing color.
Yeah, I can't figure out the grey either. If anyone has any theories, I'd love to hear them!