Make it fun... and be patient!

Spray/Mist Bottle
If you use a mist bottle, reassure your bird the whole time you spray. One tip I found helpful for using a mist bottle is to hold it near the floor and aim straight up so it comes down like rain. Talk to your bird the entire time you do it, tell him in a happy singsongy voice that his cage is a rain forest and he's in the middle of it... "Wheeeeee and it's FUN"! Simon makes a real game out of trying to attack the bottle when I mist him - at first I thought it was because he hated it, but I've found that if I stop spraying him he looks at the bottle and bobs his head as if to say "BRING IT ON!"

Shallow Pan of Water
Try playing with a shallow pan of water on top of your bird's cage. Tell him it's yours and have fun splashing your fingers in it (NOTE: Don't just pretend you're having fun, they're too smart to fall for that! You have to be really enthusiastic about it, shout "Yaaaaay! this is so much FUN!!!! Whoooopieeeee!!"). Do this each day for a few minutes and see if you can get his curiosity going. Try running the vacuum when he has a pan of cold water available, sometimes that helps too. One thing that usually helps Simon is being by a window where it's very sunny - in fact, sometimes if it's really sunny in his window, he'll take a "pan bath" on his own later in the day, even if he had a shower in the morning.

African Greys seem to prefer their bath water very cold. Try adding a few ice cubes to the bath pan!

Shower
If it's convenient to let him shower with you, let him get used to being in the bathroom with you - try running some water from the sink faucet and letting him stand and watch it (he may even want to play in it or drink it, ours did - and maybe it helped him understand that it's just water, nothing scary!).

Simon was very stubborn about stepping up for me when we first got him, so I actually decided to wheel his entire cage into the bathroom next to the shower... very messy, but it allowed him to stay on his cage where he felt safe, but still show him what the shower was all about ;) After he's used to being in the bathroom a few times, bring him in on a t-stand and set it on the counter while you shower - ease him into it over as much time as it takes. Let him watch you, so he can see what to expect in there and can see you *having fun* taking the shower too. When you feel like he's ready, let him step up on your arm and hold him in the shower, but don't necessarily make him get in the spray. After a few times of this, he should be ok to get a spritz. I always bring simon in and let him have a little shower and then set him back on the t-stand while I finish my shower. I play peekaboo with him while he waits ;) During the process, I made up a lot of silly songs, and said "wheeeeeee!" and "yaaaaaaay!" a lot. I still give him a lot of praise for taking his shower.

Our bird has a long history of featherpicking, so I try to get him to bathe on a daily basis. I've found that giving him choices about how to take his bath is very helpful... if he doesn't want to step up for a shower, I let him just enjoy a steambath, then offer him a pan of water a little later in the day - if he doesn't want to play in it, I sometimes mist him with a spray bottle. It took several weeks of daily practice and exposure to convince him that water is fun, so if your bird is stubborn, just be patient and keep trying :)

Links, Articles, References...
African Grey Bathing: Method and Technique