What I needed was a way to easily get filtering and sorting working for the list of objects. I found 2 links that helped me out a ton. The first one is Building a Drop-Down Filter List for a DataGridView Column Header Cell. This article is incredibly well-written and talks about the different interfaces you need to implement, and provides a sample, too. For the sorting, I used Brian Noyes' BindingListView class from Chapter 9 of his excellent book, Data Binding with Windows Forms 2.0.

When stitching these 2 pieces together, I noticed several things:

• The DataGridViewAutoFilterColumnHeaderCell.UpdateFilter method was adding square brackets around the property names for some reason. I can't tell why this was being done, but my guess is it had to do with spaces in database column names. Since I'm not using it for that purpose, I removed the brackets. The other approach would have been to adjust the BindingList.UpdateFilter method to deal with the brackets, so I may revisit this in the future.
• The BindingListView.UpdateFilter needed some minor modifications. I added a precondition guard check to make sure m_FilterString is not null. It looks like the DataGridViewAutoFilterColumnHeaderCell class will call back to the BindingListView class more frequently than Brian had anticipated.
• I adjusted the setter of the IBindingListView.Filter property to remove the filter if it gets set to String.Empty or null.
  

  string IBindingListView.Filter
  {
      get
      {
          return m_FilterString;
      }
      set
      {
          if (string.IsNullOrEmpty(value))
              ((IBindingListView)this).RemoveFilter();
          else
          {
              m_FilterString = value;
              m_Filtered = true;
              UpdateFilter();
          }
      }
  }
  

• You need to build up your collection of objects using BindingListView
• You must use a BindingSource to link between your collection and the DataGridView by setting dataGridView1.DataSource = myBindingSource.

By doing all of this, I got things working the way I wanted. Now it's time to tackle the next task of getting child objects bound properly in a DataGridView.