TemplateField is your friend. Add new TemplateItem to grid's columns. Then add asp:Repeater inside ItemTemplate. Like this:
Code:
<asp:GridView runat="server" DataSourceID="ObjectDataSource1">
<Columns>
<asp:BoundField DataField="ID" />
<asp:TemplateField>
<ItemTemplate>
<asp:Repeater runat="Server" DataSourceID="ObjectDataSource2">
<HeaderTemplate>
[list]
</HeaderTemplate>
<ItemTemplate>
<li><%# Eval("Name") %></li>
</ItemTemplate>
<FooterTemplate>
</ul>
</FooterTemplate>
</asp:Repeater>
</ItemTemplate>
</asp:TemplateField>
</Columns>
</asp:GridView>
Works like a charm :)