[Update: Download the hotfix for Visual Studio 2008 SP1 that fixes this issue here.]
Using the ASPxGridView in the Visual Studio 2008 ASPX markup is slower than it should be due to an issue in the Visual Studio 2008 Intellisense. We've reported it to Microsoft and they've sent us a preliminary fix for testing. Unfortunately, it's not released and I don't have an expected release date yet.
At the heart of the issue is the number of properties that are supported by any control in VS2008. If a control, like the ASPxGridView, is rich in properties then the Visual Studio 2008 Intellisence code slows downs and spikes the CPU. Unfortunately, there isn't a workaround yet but we hope Microsoft will release the aforementioned update soon.
The good news is that we've tested the possible fix and it works very well. We're still doing some internal testing to verify this fix but we're confident that it solves the issue.
Thanks and I'll post the link to the official release as soon as its made available.