Show row number in row header of a DataGridView

Thanks @Gabriel-Perez and @Groo, great idea! In case others want it, here's a version in VB tested in Visual Studio 2012. In my case I wanted the numbers to appear top right aligned in the Row Header.

Private Sub MyDGV_RowPostPaint(sender As Object, _
    e As DataGridViewRowPostPaintEventArgs) Handles MyDataGridView.RowPostPaint

    ' Automatically maintains a Row Header Index Number 
    '   like the Excel row number, independent of sort order

    Dim grid As DataGridView = CType(sender, DataGridView)
    Dim rowIdx As String = (e.RowIndex + 1).ToString()
    Dim rowFont As New System.Drawing.Font("Tahoma", 8.0!, _
        System.Drawing.FontStyle.Bold, _
        System.Drawing.GraphicsUnit.Point, CType(0, Byte))

    Dim centerFormat = New StringFormat()
    centerFormat.Alignment = StringAlignment.Far
    centerFormat.LineAlignment = StringAlignment.Near

    Dim headerBounds As Rectangle = New Rectangle(_
        e.RowBounds.Left, e.RowBounds.Top, _
        grid.RowHeadersWidth, e.RowBounds.Height)
    e.Graphics.DrawString(rowIdx, rowFont, SystemBrushes.ControlText, _
        headerBounds, centerFormat)
End Sub

You can also get the default font, rowFont = grid.RowHeadersDefaultCellStyle.Font, but it might not look as good. The screenshot below is using the Tahoma font.

You can also draw the string dynamically inside the RowPostPaint event:

private void dgGrid_RowPostPaint(object sender, DataGridViewRowPostPaintEventArgs e)
{
    var grid = sender as DataGridView;
    var rowIdx = (e.RowIndex + 1).ToString();

    var centerFormat = new StringFormat() 
    { 
        // right alignment might actually make more sense for numbers
        Alignment = StringAlignment.Center, 
        LineAlignment = StringAlignment.Center
    };

    var headerBounds = new Rectangle(e.RowBounds.Left, e.RowBounds.Top, grid.RowHeadersWidth, e.RowBounds.Height);
    e.Graphics.DrawString(rowIdx, this.Font, SystemBrushes.ControlText, headerBounds, centerFormat);
}

It seems that it doesn't turn it into a string. Try

row.HeaderCell.Value = String.Format("{0}", row.Index + 1);