The new RadGrid Filtering (Checkbox list) is great, but...
1) it will be great if, upon RadGrid Databinding, the filter gets a list of unique value for that column: that is, most of the time, how we populate the checklist.
2) Today, there's one Event "OnfilterCheckListItemsRequested" that is fired whenever a listbox needs to gets its list. Then you have to put in the event Handler the logic to find out which column called, and give back the specific column checkbox filtering list.
IMO, each column should have a distinct EventHandler for this. 
And BTW, if in the same radgrid you mix the new filter and the old ones, the old ones get an empty box instead of the default filters with option "FilterType=checklist"
Even if you choose filterType=Combined, there's a difference with the standard 'Filter way': instead of having directly the filters, you got to pass thru a single menu "filter options" to find the filter menu.

If the first column contains a list of Countries and you select for instance USA, the filter item in next column, which contains a list of Cities, should contains only cities from USA.

We need the same ExpressEditor as the folks have over in Sliverlight:

http://www.telerik.com/products/silverlight/expressioneditor.aspx

Please provide exact same functionality for starters.

Basically, improve the approach suggested in the following article to provide a more generic solution, applicable for multiple aggregate fields:
http://www.telerik.com/help/aspnet-ajax/grid-aligning-items-in-group-header.html