Agregar combobox DataGrid

dgv.Rows.Add()

        Dim rowIndex As Integer = 0
        Dim colIndex As Integer = 0
        For rowIndex = 0 To dgv.Rows.Count - 1
            Dim comboBoxCell As New DataGridViewComboBoxCell
            comboBoxCell.Items.Add("Clear Force")
            comboBoxCell.Items.Add("this works")
            comboBoxCell.Items.Add("well")
            comboBoxCell.Value = "Clear Force"
            dgv(1, rowIndex) = comboBoxCell

        Next

dgv(1, 1).Value = "well"


fuente

Insertar un ComboBox en un DataGridView

Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        Dim cmb As New DataGridViewComboBoxColumn()
        cmb.Items.Add("opcion1")
        cmb.Items.Add("opcion2")
        cmb.Items.Add("opcion3")
        cmb.Items.Add("opcion4")
        dgv1.Columns.Insert(1, cmb)
    End Sub