Gay was born in Crowley, Louisiana; admitted to bar, 1988, Texas; also admitted to practice before the U.S. District Court in the Northern, Eastern, Western and Southern Districts of Texas; U.S. Court of Appeals, Fifth Circuit; Supreme Court of the United States; Pro Hac Vice admissions in the U.S. District Court of Colorado, Louisiana, Mississippi, Georgia, Illinois, Indiana and South Carolina, State District Court of Kentucky, Chancery Court of Cook County, Illinois and Circuit Court of Virginia.