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.
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.