I think the best you'll be able to do with a CheckBoxList is to derive from
it and override the Render method. If you render the Items yourself, you can
generate whatever HTML you need.

I have come very close to creating my own CheckBoxList, but I stopped short.
I was going to derive it from ListControl so that it would have the same
interface as a CheckBoxList, but I was going to implement it by using a
helper class derived from DataList. By deriving my helper class from
DataList, I'd get to programmatically supply my own ItemTemplate.

Instead, I punted and just used a DataList directly:

   <DIV style="BORDER-RIGHT: silver 2px inset; BORDER-TOP: silver 2px
inset; MARGIN-BOTTOM: 20px; OVERFLOW: auto; BORDER-LEFT: silver 2px inset;
BORDER-BOTTOM: silver 2px inset; HEIGHT: 300px">
       <asp:DataList id="lstCountryGroupCountryMatrix" Runat="server"
GridLines="Both" RepeatDirection="Vertical" RepeatLayout="Table"
RepeatColumns="3" BorderColor="White">
           <AlternatingItemStyle
BackColor="Gainsboro"></AlternatingItemStyle>
           <ItemStyle Wrap="False"></ItemStyle>
           <ItemTemplate>
               <TABLE>
                   <TR>
                       <TD valign="top">
                           <asp:CheckBox id="chkOneCountry" Runat="server"
Checked='<%# DataBinder.Eval(Container.DataItem, "Value") %>'>
                           </asp:CheckBox></TD>
                       <TD>
                           <Label id="lblOneCountry" Runat="server"
for="chkOneCountry" accesskey="x">
                               <%# DataBinder.Eval(Container,
"DataItem.Text") %>
                           </Label>
                       </TD>
                   </TR>
               </TABLE>
           </ItemTemplate>
       </asp:DataList></DIV>

I handled the ItemDataBound event for special effects:

   Private Sub lstCountryGroupCountryMatrix_ItemDataBound(ByVal sender As
Object, ByVal e As System.Web.UI.WebControls.DataListItemEventArgs) Handles
lstCountryGroupCountryMatrix.ItemDataBound
       Select Case e.Item.ItemType
           Case ListItemType.AlternatingItem, ListItemType.Item
               Dim lblOneCountry As HtmlGenericControl =
DirectCast(e.Item.FindControl("lblOneCountry"), HtmlGenericControl)
               Dim chkOneCountry As CheckBox =
DirectCast(e.Item.FindControl("chkOneCountry"), CheckBox)
               lblOneCountry.Attributes("for") = chkOneCountry.ClientID
               lblOneCountry.Attributes("accesskey") =
DirectCast(e.Item.DataItem, ListItem).Text.Chars(0)
       End Select
   End Sub

This generated:

   <DIV style="BORDER-RIGHT: silver 2px inset; BORDER-TOP: silver 2px
inset; MARGIN-BOTTOM: 20px; OVERFLOW: auto; BORDER-LEFT: silver 2px inset;
BORDER-BOTTOM: silver 2px inset; HEIGHT: 300px">
       <table id="_ctl0__ctl10_lstCountryGroupCountryMatrix"
cellspacing="0" rules="all" bordercolor="White" border="1"
style="border-color:White;border-collapse:collapse;">
   <tr>
    <td nowrap="nowrap">
               <TABLE>
                   <TR>
                       <TD valign="top">
                           <input
id="_ctl0__ctl10_lstCountryGroupCountryMatrix__ctl0_chkOneCountry"
type="checkbox"
name="_ctl0:_ctl10:lstCountryGroupCountryMatrix:_ctl0:chkOneCountry" /></TD>
                       <TD>
                           <Label
id="_ctl0__ctl10_lstCountryGroupCountryMatrix__ctl0_lblOneCountry"
for="_ctl0__ctl10_lstCountryGroupCountryMatrix__ctl0_chkOneCountry"
accesskey="A">
                               Afghanistan
                           </Label>
                       </TD>
                       ...
                   </TR>
               </TABLE>
           </td>
       </tr>
   </table>
</div>

It was pretty cool being able to type Alt-Z and get to Zanzibar...

Note the nasty hack: I kept the original CheckBoxList, and all the
operations on it, and when I was done, instead of displaying it, I used
CheckBoxList.Items as the DataSource for the DataList!

On the other hand, I'll never do that a second time. Next time I'm tempted,
I'll break down and write a control.