What is the event that I should use? The control is bound so I need an event which when it happen the value in the data is different than the control value.

And here is approximately the same code in VB.Net.
I haven't used/verified this actual code since I did something different, but figured I'd post this as a starter help for anyone in the need for it.

    Partial Public Class MyComboEditor
        Inherits UltraComboEditor

        ''' <summary>
        ''' Occurs when the value is about to be changed
        ''' </summary>
        Public Event ValueChanging As EventHandler(Of CancelEventArgs)

        ''' <summary>
        ''' Holds the previous value in order to allow rollback
        ''' </summary>
        Protected _OldValue As Object
        Private _SkipValueChanging As Boolean

        Public Sub New()
            InitializeComponent()
            Me._OldValue = Nothing
        End Sub

        ''' <summary>
        ''' Rollbacks the value changing if ValueChanging was cancelled
        ''' </summary>
        Protected Overrides Sub OnValueChanged(ByVal args As EventArgs)
            If Me._SkipValueChanging Then Return

            Dim e As CancelEventArgs = New CancelEventArgs()
            OnValueChanging(e)
            If e.Cancel Then 'Roll back the value change if ValueChanging was cancelled
                Me._SkipValueChanging = True
                If Me._OldValue Is Nothing Then
                    Me.SelectedItem = Nothing
                Else
                    Me.Value = _OldValue
                End If
                Me._SkipValueChanging = False
            End If

            MyBase.OnValueChanged(args)
        End Sub

        Protected Overridable Sub OnValueChanging(ByVal args As CancelEventArgs)
            RaiseEvent ValueChanging(Me, args)
        End Sub

        Public Overrides Property Value As Object
            Get
                Return MyBase.Value
            End Get
            Set(ByVal value As Object)
                MyBase.Value = value
                Me._OldValue = value
            End Set
        End Property
    End Class

ValueChanged is fired only when the user changes the value, not when you bind and the binding changes the value.

We already solved the problem like that:

public partial class MyComboEditor : UltraComboEditor

/// <summary>

/// Occurs when the value is about to be changed

/// </summary>

/// <summary>

/// Holds the previous value in order to allow rollback

/// </summary>

private bool m_SkipValueChanging;

/// <summary>

/// Rollbacks the value changing if ValueChanging was cancelled

/// </summary>

/// <param name="args"></param>

if (m_OldValue == null)

else

get

set

What exactly do you mean by "ValueChanged is not fired as a result of binding change"? ValueChanged should fire any time the Value of the control changes. Are you saying you are binding the control to a new data source? Or just that the value of the bound field changed? 

My code still has a problem. If the control is bound, the OldValue should get the value of "Value", but ValueChanged is not fired as a result of binding change, so you always get a null value if you cancel the change. I'm using the combo editor inside a UserControl so I have a property that explicitly sets the Value property, but whoever want to use this need to fix it.

I can cache the old value and make my own ValueChanging event like that: (sample attached)

protected object oldValue;

private bool skipValueChanging;

this.SelectedItem = null;

else