ConTeXt Live didn't work because the default font (Latin Modern) has almost no Greek glyphs present.
Actually there's more to it, Greek letters seem to be given a weird treatment: when trying the sample file Vassilis posted, I see vowels with tonos are rendered as an apostrophe followed by the Latin equivalent letter (!), and -- except for the capital Kappa -- the other letters are obviously taken from Latin Modern Math Italic (so the absence of the glyphs from the roman fonts is not such a problem, but the result is typographically very poor). With XeTeX or LuaTeX, the glyphs are missing altogether, which is actually what I expected (of course I have to get rid of \enableregime first). I guess Mark II tries to be smart and fake Greek letters with Math Italic, but fails to render the letter with accents correctly. Then I try with Antykwa Toruńska which indeed has the glyphs:
\usetypescript[antykwa-torunska] \setupbodyfont[antykwa]
First of all, these two lines don't change anything for me, I have to specify an encoding, but I don't know which one to use for Greek so I took my chances with ec and replaced the first line with “\usetypescript[antykwa-torunska][ec]”. Then, with pdfTeX, the result is more or less the same as with Latin Modern (roman capital Kappa, italic small letters, 'e for epsilon with tonos). With XeTeX it's a bit better but the mu are missing (?), and with LuaTeX it looks right. My head hurts ... But isn't it possible to use Silvio Levy and Claudio Beccari's Greek fonts? They are part of the minimal distribution, and I see there is a whole typescript file for them (type-cbg), and I would expect to use them for Greek, rather than the Polish fonts. The only thing I don't know, actually, is which encoding to use (in LaTeX this would be LGR, I think, but it doesn't seem to work here). Arthur P-S: OK, on a second try the mu's are actually there with XeTeX as well ...