There are times when you will want to set the color of the grid lines in your GridView - however there is not to my knowledge a way of doing this declaratively. A workaround is to do this by tapping into the GridView's RowDataBound event.

First, set the OnRowDataBound property in the markup of the GridView:

OnRowDataBound="MyGrid_RowDataBound"

Second, set the color in the OnRowDataBound handler method:

protected void MyGrid_RowDataBound(object sender, GridViewRowEventArgs e)
{
     foreach (TableCell tc in e.Row.Cells)
     {
         tc.Attributes["style"] = "border-color: #c3cecc";
     }
}

Happy coding :-)

Update 06-01-2009:
See Lee's suggestion in the comments on a quicker way to do this:
Add this to the page Load method: this.GridView1.Attributes.Add("bordercolor", "c3cecc");