A TreeView in ComboBox would be most helpful as both a stand-alone control and when editing within the Grid.

 something like this: http://www.brad-smith.info/blog/archives/193 (example from .NET Windows forms world)

* Used for relative small tree data structure.
* User may select one (many) item(s), without _loosing context_ (no interrupting dialog box, 'flat' interface).
* User may accept selection by click on item, or pressing 'enter'.
* User may cancel (hide) popup when click outside control/popup (ie in another control, that received focus) or pressing escape - like in combobox/dropdown.
* It will be nice if user can select items using keyboard arrows.
* After opening popup or selecting item, widget still has focus
* When user types in combo (with open popup), data should be filtered.
* No additional 'ok' or 'cancel' buttons to accept/dismiss selection.