If you want to edit data directly in the gridview in a 'dropdownlist' style, then you could use the 'type' => 'select' option of TbEditableColumn (YiiBooster) or EditableColumn (x-editable for Yii). This wiki shows how to get data from the db for the 'dropdownlist', by converting AR model data into an array that is passed in json format.
The CGridView widget is very useful and customizable, but sometimes you need a little more.
One limit I found is to have only one row for headers; yes, you can write each column header in more than one row, but just inside the single cell.
I was looking instead for the possibility to use more than one row, with different structure one from the others.
This way you can write columns grouping headers, and obtain a nicer view.