Setting the GridControl.DataSource property directly without using an instance of the BindingSource class (http://msdn.microsoft.com/en-us/library/system.windows.forms.bindingsource.aspx).
This caused leaks in my application that took me quite a while to track down with a profiler, eventually I found this bug report that Microsoft responded to: http://connect.microsoft.com/VisualStudio/feedback/ViewFeedback.aspx?FeedbackID=92260
It's funny that in the documentation for the BindingSource class Microsoft try to pass it off as a legitmate well thought out class, but I think they just created it to solve a fundamental leak regarding currency managers and binding data to grid controls.
Watch out for this one, I bet there are absolutely loads of leaky applications out there because of this!