I have a DataGridView where I allow users to type in cell values, but I only want upper case.  To do this, you need to capture the control as it's being created and assign a KeyPress handler.  E.g:

    private void MyGrid_EditingControlShowing(object sender, DataGridViewEditingControlShowingEventArgs e)
    {
      if (e.Control is DataGridViewTextBoxEditingControl)
      {
        e.Control.KeyPress += new KeyPressEventHandler(Control_KeyPress);
      }
    }

    void Control_KeyPress(object sender, KeyPressEventArgs e)
    {
      e.KeyChar = e.KeyChar.ToString().ToUpper()[0];
    }

Of course, you can extend this further to do all sort of things, but if your requirements are complex then it's probably advisable to create your own custom column.