System.Object 
  System.MarshalByRefObject 
    System.ComponentModel.Component 
      System.Windows.Forms.Control 
        System.Windows.Forms.ListControl 
         System.Windows.Forms.ComboBox
           Microsoft.CLRAdmin.DataGridComboBox 
             System.Windows.Forms.
               DataGridViewComboBoxEditingControl

private void button1_Click(object sender, EventArgs e){
  if(cidades.SelectedIndex > -1){
    string valor = cidades.SelectedItem.ToString();
    MessageBox.Show("O valor selecionado é: " + valor);
  }
}