This one got me before, and just got me again today. At least this time I knew there was a gotcha so I solved it pretty quick. Say you have a date and time field that you wish to show up on your GridView in a specified format. You would think that you would just need to set the DataFormatString property to something like {0:MM/dd/yy}. When you bring up your Grid you'll have no change.
You need to specify HtmlEncode="false". Ahhh much better!