I would do a very light grey paint. will you be placing a rug in the room or carpet? Have you considered seating as well for the room. Personally I don't depend on the bedding choice when it comes to decorating for they always change.

Thank you for your response! Is there a light gray Benjamin Moore that you recommend? I will probably do a small area rug. I was thinking maybe navy for the area rug and curtains but I have no idea. It's hard to decide and I only have 9 weeks to go!

Benjamin Moore Stormy Monday

Benjamin Moore Genesis white it is bed if you and your husband get some samples from your local Home Depot or Loews

I would recommend to pain the room in a very light blue color since your furniture is grey. And I think the first baby bedding example (dark blue with a lighter color of blue in it) would go really well together with the light blue walls and grey furniture.
Good luck and congrats on your baby!

Congratulations on your baby! I think you should go with the first one. Animals are so much fun! If you do, Live Good has cute animal pillows you can use to decorate the room.

I think it's a very personal choice that's more than just aesthetic. This might help you: http://www.opeeqo.com/story/psychology-of-colors-the-right-shade-for-your-kids-room