Gary was born in London, but moved to his father's hometown Wexford in the Republic of Ireland. After leaving school he joined Wexford Theatre Co-op, performing in plays by Sam Sheperd, Dario Fo and Joe Orton. During this time he began a collaboration with the Wexford writer, making his London debut in 1988 playing Jimmy Brady in A Handful of Stars (1993), and went on to perform in Billy Roche's Wexford Trilogy on stage and television.