We filed a bug a while back in regards to slowness in DataGridView. The bug was fixed in Beta 2 but now with the Final Release it's slow again. It is a real shame because Microsoft has put serious effort into improving DataGridView in Beta 2.
We have now reopened the bug because it is crucial to us to have a fast grid.
If you have the chance, please vote for the bug.

DataGridView twice as slow in Final Release compared to Beta 2
Tomas Matousek