Hi again,
Sorry, but I forgot about the half of what I was going to say here 
There is a huge number of DataGridView issues fixed in 6.4 already, and quite a list still to go, so you will get great improvements for that control in 6.4 and probably the next 1 or 2 versions after that.
What I did for some of my applications was to actually make the cells in the DataGridView itself readonly, or at least non-editable, and then either have a details panel below, or a details editing dialog, where I added normal ComboBoxes with customized dropdown lists as I needed.
This might not sound an appealing solution to everyone, but my users found it quite ok to implement it that way. After implementing a few such apps, I started using the ListView control instead of the DataGridView, and still have either a details panel or a details dialog for the editing.
Hope this helps,
Palli