Here's what I had to end up doing:

Code:
    Private Sub dgvClass_EditingControlShowing(ByVal sender As Object, ByVal e As System.Windows.Forms.DataGridViewEditingControlShowingEventArgs) Handles dgvClass.EditingControlShowing
        If TypeOf e.Control Is ComboBox Then
            Dim combo As ComboBox = DirectCast(e.Control, ComboBox)

            If combo IsNot Nothing Then
                RemoveHandler combo.SelectedIndexChanged, _
                New EventHandler(AddressOf ComboBox_SelectedIndexChanged)


                AddHandler combo.SelectedIndexChanged, AddressOf ComboBox_SelectedIndexChanged
            End If
        End If
    End Sub