This solution is based off the combobox for datagrid columns found in this FAQ. That solution replaces the standard textbox with a combobox. To get notifications of the changes, a delegate is passed into the constructor for the custom column style. This delegate is called anytime the combobox value changes. It passes the row number and value as arguments. You can download sample code (C#, VB) that shows the implementation.

Contributed from George Shepherd's Windows Forms FAQ