His scent still lingers on the bed sheets in their SoHo loft. Kathie Russo hasn't changed them. She wants to remember the last time her husband, Spalding Gray, slept there. His skis still stand in a corner of the living room. He was supposed to fly to Aspen on Jan. 10, but his flight was canceled. So he saw a movie, Big Fish, with two of their kids, Theo and Marissa, and walked the dog. That evening, with Russo at a conference, Gray went back out. He boarded the Staten Island Ferry. For years, the acclaimed 62-year-old monologuist and actor...