<Style x:Key="DataGridStyle"
           TargetType="DataGrid">
        <Setter Property="CellStyle">
            <Setter.Value>
                <Style TargetType="DataGridCell">
                    <Style.Triggers>
                        <Trigger Property="DataGridCell.IsSelected" Value="true">
                            <Setter Property="Background" Value="Orange" />
                        </Trigger>
                    </Style.Triggers>
                </Style>
            </Setter.Value>
        </Setter>
    </Style>