I seen DataGrid in NET Frameworks 1.0, 1.1 and 2.0. They all has the same problems which still not resolved:
1. they are slow. actually they are VERY SLOW at rendering! Try put about 10 columns and 1000 rows and scroll or select a range... And the new NET 2.0 DataGrid has features that will kill any CPU at once - automatic column/row resize works well on limited datasets only.
2. embedded sorting are good, but why there is no way for user to set sort by multiple columns I mean I can write in code to sort by few columns, but is it hard to make Shift+Click for user to add column to the sorting
3. while sorting are enabled, there is no standard filtering or searching solution for user. Common Control's ListView has nice feature of Filter column, why not create something alike in DataGrid
4. Also to searching, this is good to enable searching using incremental strings.
5. RadioButton also can be good! Not only checkbox exists in the world, I think it's good to create few columns like "Yes" and "No" with radio buttons inside. So user can be asked multiple questions at one time and select multiple choices. Combos are bad here (two clicks instead of one) and checkbox can't fit in scenario where choices are more than 3.
6. combobox in NET 2.0 always render it's drop-down button. This is required at active cell/row only!
7. right click can raise default context menu with FILTER BY VALUE, see MS Access for details
I hope somebody at MS will see this ideas and find at least one of it worthy to implement in NET 2.1 for example :)

Make really useful DataGrid at last!!!