My hair has always been one of my best features, so everyone was surprised when I chose to let it gray naturally. I like to think of it as cheap highlights, or "sparkles". The time and money it would take to color my hair just doesn't appeal to me. On the other hand, I am vain enough to keep wanting my hair to be one of my best features, so I figured I'd concentrate on the cut.
As citygirldc points out, the texture of graying hair can be a bit of an issue. In my case, my hairdresser eased me out of my straightish bob and into a longer, wavier look with a close-cut nape and fringe. The style is easy to maintain and I can "funk" it up by working in a bit of molding paste if I want to change up the style.
My advice would be to find a younger stylist who was willing to help you experiment with the transition. My current stylist (who has bright purple and green hair) laughed when I requested a cut for my graying hair that didn't scream "old lady"; I'm sure I'm her oldest client, but I love that she was much more willing to help me experiment than my former stylist who kept giving me variations the same cut I'd worn for years. My new stylist pushed me into a totally different direction and got me into playing around with different products for different effects. My philosophy was it's only hair, and, if I didn't like something, my hair would grow out in a couple of months, but the process of experimenting led to my current cut which I love.