That's not a secret: Silverlight's DataGrid
default style is beautiful while WPF's is poor.
Instead of reinventing the wheel let me ask the community if anyone has copied the SL styles to use in WPF.
Please take a look at the screenshots and judge for yourself how the Silverlight and WPF teams invest in their products.
Silverlight default-style DataGrid:
WPF default-style DataGrid (updated after Saied K's answer):
Buried deep within MSDN, I found this.
Toward the bottom of the article, you will see this phrase:
For example, take a look at the following illustration that shows part of the Styling with ControlTemplates Sample
If you click 'Styling with ControlTemplates Sample', it will take you to a download link. After download, you can compile the project and it includes all kinds of styles, including the elusive datagrid style! You can take MS's DataGrid.xaml file and modify it for your needs.