<asp:datagrid id="DataGrid1" runat="server" AutoGenerateColumns="False" DataKeyField="au_id">
    <Columns>
        <asp:BoundColumn DataField="au_id" HeaderText="au_id" />
        <asp:TemplateColumn HeaderText="state">
            <ItemTemplate>
                <asp:DropDownList id="DropDownList1" runat="server" DataSource='<%# GetStates() %>' DataTextField="state" Text='<%# DataBinder.Eval(Container.DataItem,"state") %>'></asp:DropDownList>
            </ItemTemplate>
        </asp:TemplateColumn>
    </Columns>
</asp:datagrid>

private void BindGrid()
{
    SqlConnection cn = new SqlConnection(@"server=.\SQLExpress;uid=sa;pwd=;database=pubs");
    SqlDataAdapter da = new SqlDataAdapter("select au_id, state from authors", cn);
    DataSet ds = new DataSet();
    cn.Open();
    da.Fill(ds);
    cn.Close();
    DataGrid1.DataSource = ds;
    DataGrid1.DataKeyField = "au_id";
    DataGrid1.DataBind();
}

protected DataTable GetStates()
{
    SqlConnection cn = new SqlConnection(@"server=.\SQLExpress;uid=sa;pwd=;database=pubs");
    SqlDataAdapter da = new SqlDataAdapter("select distinct state from authors", cn);
    DataSet ds = new DataSet();
    cn.Open();
    da.Fill(ds);
    cn.Close();
    return ds.Tables[0];
}

protected void Page_Load(object sender, EventArgs e)
{
    if (!IsPostBack)
    {
        BindGrid();
    }
}

<asp:datagrid id="DataGrid1" runat="server" AutoGenerateColumns="False" DataKeyField="au_id" OnItemDataBound="DataGrid1_ItemDataBound">
    <Columns>
        <asp:BoundColumn DataField="au_id" HeaderText="au_id" />
        <asp:TemplateColumn HeaderText="state">
            <ItemTemplate>
                <asp:DropDownList id="DropDownList1" runat="server" DataSource='<%# GetStates() %>' DataTextField="state" Text='<%# DataBinder.Eval(Container.DataItem,"state") %>'></asp:DropDownList>
            </ItemTemplate>
        </asp:TemplateColumn>
        <asp:TemplateColumn HeaderText="state">
            <ItemTemplate>
                <asp:DropDownList id="DropDownList2" runat="server"></asp:DropDownList>
            </ItemTemplate>
        </asp:TemplateColumn>
    </Columns>
</asp:datagrid>

private void BindGrid()
{
    SqlConnection cn = new SqlConnection(@"server=.\SQLExpress;uid=sa;pwd=;database=pubs");
    SqlDataAdapter da = new SqlDataAdapter("select au_id, state from authors", cn);
    DataSet ds = new DataSet();
    cn.Open();
    da.Fill(ds);
    cn.Close();
    DataGrid1.DataSource = ds;
    DataGrid1.DataKeyField = "au_id";
    DataGrid1.DataBind();
}

protected DataTable GetStates()
{
    SqlConnection cn = new SqlConnection(@"server=.\SQLExpress;uid=sa;pwd=;database=pubs");
    SqlDataAdapter da = new SqlDataAdapter("select distinct state from authors", cn);
    DataSet ds = new DataSet();
    cn.Open();
    da.Fill(ds);
    cn.Close();
    return ds.Tables[0];
}

protected void Page_Load(object sender, EventArgs e)
{
    if (!IsPostBack)
    {
        BindGrid();
    }
}
protected void DataGrid1_ItemDataBound(object sender, DataGridItemEventArgs e)
{
    DropDownList dropTemp;
    string strState;
    if (e.Item.ItemType == ListItemType.Item || e.Item.ItemType == ListItemType.AlternatingItem)
    {
        strState = ((DataRowView)e.Item.DataItem).Row["state"].ToString();

        //对DropDownList做数据绑定
        dropTemp = e.Item.FindControl("DropDownList2") as DropDownList;
        if (dropTemp != null)
        {
            SqlConnection cn = new SqlConnection(@"server=.\SQLExpress;uid=sa;pwd=;database=pubs");
            string strSql = "select distinct state from authors";
            SqlCommand cmd = new SqlCommand(strSql, cn);
            cn.Open();
            dropTemp.DataSource = cmd.ExecuteReader();
            dropTemp.DataTextField = "state";
            dropTemp.DataBind();
            cn.Close();

            //到DropDownList中根据type的值去找需要设置为选中状态的项目，将其设置为选中
            ListItem item = dropTemp.Items.FindByText(strState);
            if (item != null)
            {
                item.Selected = true;
            }
        }
    }
}