Grey is much better - it doesn't fade, and the interior is a lot brighter. Black is a terrible interior colour. Drabtastic.
I know everyone has their own preference and whatnot but I disagree here. Grey is too bright, for me I like a nice dark interior but if it is a colour then it certainly won't be grey, much prefer red/cream.
Black just looks more professional especially if it's been looked after well. As for the fade, maybe fade was the wrong choice of word but it goes yellowy around heavy traffic areas unless you keep on top of it and just looks terrible. I've looked at a lot of e46s with grey interiors with bits starting to go yellow.
BMW grey IMO is the most bland interior colour they do.