Any kind of list control (such as a DataGrid), need to bind to data that implements ICollectionView, or at least can act like one. This means you need "list" (Array, ArrayCollection, XMLList, etc) data and not Object data.
Code:
<mx:ArrayCollection id="mydata">
<Object label="foo1" value="bar1"/>
<Object label="foo2" value="bar2"/>
<Object label="foo3" value="bar3"/>
</ArrayCollection>
<mx:DataGrid dataProvider="{mydata}" width="500">
<mx:columns>
<mx:DataGridColumn dataField="label" headerText="Label"/>
<mx:DataGridColumn dataField="value" headerText="Value"/>
</mx:columns>
</mx:DataGrid>
Cheers!