I am using a MS DataGridView and a BusinessBindingSource. I'd like to have a combo within one of the cells that is filled with a SF BO. How do I do that? Do I need to create a new DataGridViewCell? Or is there a way to load the normal combo with the BO?

You will either need to use the DataGridViewComboBoxColumn and populate it manually or create your own DataGridView cell control that implements the SF list population.  It will probably be easiest to populate this manually rather than creating a custom control.