As a general rule, I prefer gritty over gonzo 99% of the time. Although, the two concepts don't have to be mutually exclusive; i.e., I could run a 'gritty' game even in a high fantasy setting or space opera setting. I think that a couple of keys to a successful gritty game is resource management by the GM and momentum of the game world. Resources, which are vital to survival, should be difficult for the characters to obtain, and the game world should not slow down so that the characters have to pick and choose their down time carefully.