A Gulfstream V pilot departed ASE south and the EGPWS terrain warning activated after the aircraft entered IMC around 12;000 FT with mountains top around 14;500 FT and a 15;700 FT MSA.

Narrative

We left South America for Aspen with a Customs/fuel stop enroute. On arrival at Aspen our block time was 13:00 hours and our duty time was 16:00 hours. Aspen's weather was a concern as TAF showed possibilities of low ceilings and visibility and snow. We were scheduled for a tight maintenance inspection the same day. On arrival ATIS was 170/25G36 10 miles 80 BKN 6/-4 29.74. The ATIS remained for our departure; winds were stable from the south; not shifting as usual for Aspen; which made a northwest departure not possible. I proceeded to sign the waiver to be able to depart to the southeast as reported ceiling was 80 broken and we could see the tops of the mountains around Aspen. I decided to take off Runway 15 and climb visually straight ahead and turn to LINDZ as per clearance: Climb VFR direct LINDZ when able RV…. This was second or third wrong decision as I should have made a climbing left turn to LINDZ due to lower terrain to the east. At about 300 FT above the mountain tops and unable to remain VFR due terrain; we entered a solid cloud layer around 12;000 MSL and came out on top at around 14;500 MSL. Being the MSA in the quadrant 15;700 MSL and seeing yellow in the EGPWS about 4 miles ahead I became concerned those few seconds as to terrain clearance and unable to maintain VFR established on the IFR departure track. On hindsight I should have delayed departure till wind shifted or better still delayed arrival for maintenance for a day or two.