I haven't done much DataGrid programming in the past but it's used quite a bit at my new job. I thought I was pretty proficient at ASP.Net 1.1 but I was having some trouble getting the DataGrid viewstate to work. The problem was when you have AutoGenerateColumns set to false you have to do a little bit of extra work for the viewstate to load, you need to set up the columns on each page load.
http://www.velocityreviews.com/forums/t111954-net-datagrid-contents-lost-on-postback.html