What's people noise of choice to try and scare them away before you get too close? I tend to adopt a hissing / clicking noise, although the squirrels lately have become very laissez-faire to this.
In the car I flash my lights, on the bike it's either too late to shout, while if there's time I'll take evasive action.
Grey squirrels are particularly arrogant / ballsy creatures who seemingly "learn" quickly to ignore stuff they don't immediately identify as a threat... sometimes to their ultimate undoing. That said, one less grey in the world is no bad thing.