Basically I like the package, just two small things:
1. Some methods in DataGriColumn.php need docs
2. Why is it called HTML_DataGrid when it build Excel, XML, ... shouldn't it be called Structures_DataGrid?
3. Follow the naming conventions:
HTML/DataGrid/Column.php should contain HTML_DataGrid_Column class.
4. In your XML renderer you should use XML_Util to create the tags or replace XML entities yourself... If you put an & in a cell your XML will not be wellformed...