Sadly it appears there is not.
You are going to have to either
1) inherit a custom grid column style or
2) Buy a third party control. (And if you can figure out a way to get a
refung from MS for the datagrid, let me know ;)   )

I feel the same way. In the end I bit the bullet and used the inherited grid
style.
A good example of variations on the technique can be is found at
http://www.syncfusion.com/faq/winforms/search/745.asp

What the article doesn't list is the code to add the custom style to your
grid.
Once you create the custom grid syle, you can test it using this code:
Drop a datagrid on a form and add this code somewhere.

       Dim dc As DataColumn
       Dim dt As New DataTable("person")
       Dim dr As DataRow

       dc = New DataColumn("name", GetType(String))
       dt.Columns.Add(dc)
       dc = New DataColumn("age", GetType(Int32))
       dt.Columns.Add(dc)

       dr = dt.NewRow
       dr(0) = "fred smith"
       dr(1) = 55
       dt.Rows.Add(dr)

       dr = dt.NewRow
       dr(0) = "june jones"
       dr(1) = 34
       dt.Rows.Add(dr)

       dr = dt.NewRow
       dr(0) = "bob brown"
       dr(1) = 73
       dt.Rows.Add(dr)

       Dim ts As New DataGridTableStyle
       ts.MappingName = dt.TableName

       Dim coltext As New DataGridTextBoxColumn
       coltext.MappingName = dt.Columns(0).ColumnName
       coltext.Width = 60
       coltext.HeaderText = "Person's Name"
       ts.GridColumnStyles.Add(coltext)

       Dim colcustom As New CustomGridColStyle
       colcustom.MappingName = dt.Columns(1).ColumnName
       coltext.HeaderText = "Person's Age"
       coltext.Width = 40
       ts.GridColumnStyles.Add(colcustom)

       Me.DataGrid1.TableStyles.Clear()
       Me.DataGrid1.TableStyles.Add(ts)

       DataGrid1.DataSource = dt

Good luck. It takes a while to get the hang of.

Jonathan Steinberg
BRCorp
jsteinberg@NOTBRCorp.com