//Custom DataGridViewColumn
public class DataGridViewComboBoxColumn : DataGridViewColumn
{
    public DataGridViewComboBoxColumn()
        : base(new DataGridViewComboBoxCell())
    {
    }

    public override DataGridViewCell CellTemplate
    {
        get
        {
            return base.CellTemplate;
        }
        set
        {
            if ((value != null) &&
                (!value.GetType().IsAssignableFrom(typeof(DataGridViewComboBoxCell))))
            {
                throw new InvalidCastException("Must be a DataGridViewHelpCombBoxCell");
            }
            base.CellTemplate = value;
        }
    }

    public override object Clone()
    {
        DataGridViewComboBoxColumn col = base.Clone() as DataGridViewComboBoxColumn;
        //Copy the added properties, otherwise it would cause some error, such as serialization error.
        col.ValueMember = this.ValueMember;
        col.DisplayMember = this.ValueMember;
        col.DataSource = this.DataSource;
        col.ValueType = this.ValueType;

        return col;
    }

    //Data source of the combobox.
    public object DataSource { set; get; }
    //Display member of the combobox.
    public string DisplayMember { set; get; }
    //Value member of the combobox.
    public string ValueMember { set; get; }
    //Type of the value in combobox.
    public Type ValueType { set; get; }
}

public class DataGridViewComboBoxCell : DataGridViewTextBoxCell
{
    public override void InitializeEditingControl(int rowIndex, object initialFormattedValue, DataGridViewCellStyle dataGridViewCellStyle)
    {
        base.InitializeEditingControl(rowIndex, initialFormattedValue, dataGridViewCellStyle);
        ComboBox combBox = DataGridView.EditingControl as ComboBox;
        combBox.DropDownStyle = ComboBoxStyle.DropDownList;
        DataGridViewComboBoxColumn col = DataGridView.Columns[ColumnIndex] as DataGridViewComboBoxColumn;
        //Transfer values from column to combobox.
        combBox.DataSource = col.DataSource;
        combBox.DisplayMember = col.DisplayMember;
        combBox.ValueMember = col.ValueMember;
        try
        {
            object value = this.GetValue(rowIndex);
            //If value is null, set the value to the first value in data source.
            if (value != null)
                combBox.SelectedValue = value;
            else
                combBox.SelectedIndex = 0;
        }
        catch
        {
            MessageBox.Show("Set value fail.");
        }
    }

    public override Type ValueType
    {
        get
        {
            return (DataGridView.Columns[ColumnIndex] as DataGridViewComboBoxColumn).ValueType;
        }
    }

    public override Type FormattedValueType
    {
        get
        {
            return typeof(string);
        }
    }

    public override object DefaultNewRowValue
    {
        get
        {
            return null;
        }
    }

    public override Type EditType
    {
        get
        {
            return typeof(ComboBoxControl);
        }
    }

    public override object ParseFormattedValue(object formattedValue, DataGridViewCellStyle cellStyle, TypeConverter formattedValueTypeConverter, TypeConverter valueTypeConverter)
    {
        //Parse null value to blank.
        if (formattedValue == null)
            return "";
        else
            return formattedValue.ToString();
    }

    protected override void Paint(System.Drawing.Graphics graphics, System.Drawing.Rectangle clipBounds, System.Drawing.Rectangle cellBounds, int rowIndex, DataGridViewElementStates cellState, object value, object formattedValue, string errorText, DataGridViewCellStyle cellStyle, DataGridViewAdvancedBorderStyle advancedBorderStyle, DataGridViewPaintParts paintParts)
    {
        //When the value is null, draw blank.
        string newVal = "";
        if (this.DataGridView.Rows[rowIndex].IsNewRow == false)
        {
            if ((value != null) && (value.ToString().Trim() != ""))
            {
                newVal = value.ToString().Trim();
            }
        }

        base.Paint(graphics, clipBounds, cellBounds, rowIndex, cellState, value, value, errorText, cellStyle, advancedBorderStyle, paintParts);
    }   
}

public class ComboBoxControl : ComboBox, IDataGridViewEditingControl
{
    private int index_ = 0;
    private DataGridView dataGridView_ = null;
    private bool valueChanged_ = false;

    public ComboBoxControl()
        : base()
    {
        this.SelectedIndexChanged += new EventHandler(HelpCombBoxControl_SelectedIndexChanged);
    }

    void HelpCombBoxControl_SelectedIndexChanged(object sender, EventArgs e)
    {
        NotifyDataGridViewOfValueChange();
    }

    protected virtual void NotifyDataGridViewOfValueChange()
    {
        this.valueChanged_ = true;
        if (this.dataGridView_ != null)
        {
            this.dataGridView_.NotifyCurrentCellDirty(true);
        }
    }

    #region IDataGridViewEditingControl members

    public void ApplyCellStyleToEditingControl(DataGridViewCellStyle dataGridViewCellStyle)
    {
        this.Font = dataGridViewCellStyle.Font;
        this.ForeColor = dataGridViewCellStyle.ForeColor;
        this.BackColor = dataGridViewCellStyle.BackColor;
    }

    public DataGridView EditingControlDataGridView
    {
        get
        {
            return dataGridView_;
        }
        set
        {
            dataGridView_ = value;
        }
    }

    public object EditingControlFormattedValue
    {
        get
        {
            return base.SelectedValue;
        }
        set
        {
            base.SelectedValue = value;
        }
    }

    public int EditingControlRowIndex
    {
        get
        {
            return index_;
        }
        set
        {
            index_ = value;
        }
    }

    public bool EditingControlValueChanged
    {
        get
        {
            return valueChanged_;
        }
        set
        {
            valueChanged_ = value;
        }
    }

    public bool EditingControlWantsInputKey(Keys keyData, bool dataGridViewWantsInputKey)
    {
        if (keyData == Keys.Return)
            return true;
        switch (keyData & Keys.KeyCode)
        {
            case Keys.Left:
            case Keys.Up:
            case Keys.Down:
            case Keys.Right:
            case Keys.Home:
            case Keys.End:
            case Keys.PageDown:
            case Keys.PageUp:
            case Keys.Return:
                return true;
            default:
                return false;
        }
    }

    public Cursor EditingPanelCursor
    {
        get
        {
            return base.Cursor;
        }
    }

    public object GetEditingControlFormattedValue(DataGridViewDataErrorContexts context)
    {
        return EditingControlFormattedValue;
    }

    public void PrepareEditingControlForEdit(bool selectAll)
    {
    }

    public bool RepositionEditingControlOnValueChange
    {
        get { return false; }
    }
    #endregion

}