DataGrid has been around since .NET 1.1 while GridView was introduced in .NET 2.0. So basically GridView is the successor of DataGrid. Here's a nice article on MSDN comparing both.
Both the DataGrid and GridView controls are derived from the
WebControl class. Although it has a similar object model to that of
the DataGrid control, the GridView control also has a number of new
features and advantages over the DataGrid control, which include:
Richer design-time capabilities. Improved data source binding
capabilities. Automatic handling of sorting, paging, updates, and
deletes. Additional column types and design-time column operations. A
Customized pager user interface (UI) with the PagerTemplate property.
Differences between the GridView control and the DataGrid control
include: Different custom-paging support. Different event models.
