I was able to accomplish this by adding a ultracombo box to my form and then setting the grid cell Style to DropDown and the Valuelist to the ultracombo.  I have a dynamically built grid so I do this in the grid's InitializeRow event, but I would suspect it could also be set at design time.

row.Cells[intCell].Style = Infragistics.Win.UltraWinGrid.ColumnStyle.DropDownValidate;
row.Cells[intCell].ValueList = this.ucMyUltraCombo;