1- If the Grid will be read only, use a TypedList or a DynamicList.
2- If not, then use prefetchPaths in the fetch method to fetch related entities as well, this
will issue one database call for example to fetch all customers for all orders, and hence will disable LazyLoading (in case of SelfServicing).
3- You can specify excludedIncludedFields list to execlude fields from being fetched.
this is also true in the prefetched related entities.
I guess the ASP.NET 2.0 databinding example, in the v.2.5 download section has many useful examples.