Math mode in tabular without having to use $...$ everywhere

\documentclass{article}

\usepackage{amstext} % for \text macro
\usepackage{array}   % for \newcolumntype macro
\newcolumntype{L}{>{$}l<{$}} % math-mode version of "l" column type


\begin{document}
\begin{tabular}{| L | L |}
\hline
\text{Column A} & \text{Column B} \\
x & y \\
\end{tabular}

\end{document}

If most of the table consists of math-mode material, it's preferable to use an array environment instead of a tabular environment. Any text-mode material in the table can be handled by encasing it in \text directives (requires the amsmath or the amstext package):

\documentclass{article}
\usepackage{amsmath} % for "\text" macro
\begin{document}
$\begin{array}{|c|c|}
\hline
\text{Column A} & \text{Column B} \\
x+y & x-y \\
\hline
\end{array}$
\end{document}

If you use tabu, it automatically detects whether the table is in math mode, thus imitating this feature of array.

\documentclass{article}
\usepackage{amsmath,tabu}
\begin{document}
$\begin{tabu}{|l|l|}\hline
  \text{Column A} & \text{Column B} \\
  x & y
\end{tabu}$
\end{document}