Code
 private void Form1_Load(object sender, EventArgs e)
        {
            DataGridView.CheckForIllegalCrossThreadCalls = false;
        }

        private void BindData(IAsyncResult ar)
        {
            if (ar.IsCompleted)
            {
                SqlCommand com = (SqlCommand)ar.AsyncState;
                SqlDataReader reader = com.EndExecuteReader(ar);
                DataTable table = new DataTable();
                table.Load(reader);
                this.dgvTest.DataSource = table;
                reader.Close();
            }
        }

        private void button1_Click(object sender, EventArgs e)
        {
            SqlConnection conn = new SqlConnection("server=.;database=logging;Integrated Security=true;Asynchronous Processing=true");
            SqlCommand com = new SqlCommand("select * from Test", conn);//数据库量有6万;
            conn.Open();
            com.BeginExecuteReader(new AsyncCallback(BindData), com);
        }