The initial instrumentation of the 1.5 m solar telescope GREGOR on Tenerife will include a grating spectrograph with a spectro-polarimeter for the near infrared and a dual Fabry-Perot filter spectro-polarimeter for the "red" wavelength range from 530 to 860 nm. Both instruments are based on their predecessors that are presently operated at the Vacuum-Tower Telescope on Tenerife. In order to fully exploit the scientific capability of GREGOR, simultaneous multi-wavelength observations are necessary. Such observations will allow studying the coupling of different layers of the solar atmosphere. Simultaneous measurements of the magnetic field, using different spectral lines, increase the sensitivity and the accuracy of such measurements. We present concepts for multi-wavelength observations with GREGOR based on the first-light instruments. As a first step, fast large-format CCD cameras will be used in the slit-jaw imaging system of the spectrograph or in an additional medium-band imaging channel for post-facto image restoration combined with the spectro-polarimeter. These observations with high spatial resolution would provide the context for the spectrally resolved data. Beyond simple time-share concepts, the different characteristics of imaging and spectrograph-based instruments require more sophisticated approaches, which should neither sacrifice adaptive optics performance nor diminish polarimetric efficiency and accuracy. Here, we will discuss a beam splitter option and variants of scanning spectrograph systems. Finally, we introduce a concept for a second-generation instrument the "Blue Imaging Solar Spectrometer" (BLISS), a dual Fabry-Perot interferometer to explore the blue solar spectrum (from 380 to 530 nm) in tandem with the "red" instrument.