protected void GridView1_RowDataBound(object sender, GridViewRowEventArgs e)
{
    if (e.Row.RowType == DataControlRowType.Header)
    {
        foreach (TableCell cell in e.Row.Cells)
        {
            cell.Attributes.Add("title", "Тултип " + cell.Text);
        }
    }
}

<asp:TemplateField>
    <HeaderTemplate>
        <asp:Label ID="Label1" runat="server" Text="Пароль" ToolTip="Тултип" />
    </HeaderTemplate>
    <ItemTemplate>
        <%# Eval("Password") %>
    </ItemTemplate>
</asp:TemplateField>