Heh, as it turns out I guess I posted this to the Feature Requests page a long time ago. Vote here: http://feedback.telerik.com/Project/108/Feedback/Details/105325-vertical-column-headers-in-radgrid-and-when-exporting-radgrid-to-pdf
Actually with the current implementation you can rotate the headers by assigning the rgRotateHeader class as demonstrated in the attached website. However this style will not be applied to the exported content. Considering the aforementioned I recommend voting for the feature request thus increasing its priority.
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