This question has appeared a few times, there is a tutorial in the XtraGrid demos called "Vertical headers". This code works for the PivotGrid as well. The only problem is that column header heights can't be adjusted in the PivotGrid. An issue to change this has already been accepted by DevExpress. See also:
http://www.devexpress.com/Support/Center/p/Q18893.aspx
http://www.devexpress.com/Support/Center/p/S18650.aspx
Hope this helps.