首先新建一个DataGrdiExtensions类，代码为：

 public static class DataGridExtensions
    {
        /// <summary>
        /// 导出dg中数据，成功返回true，失败返回false
        /// </summary>
        /// <param name="dg"></param>
        /// <returns></returns>
        public static bool Export(this DataGrid dg)
        {
            return ExportDataGrid(dg);
        }

        /// <summary>
        /// 导出dGrid中数据，成功返回true，失败返回false
        /// </summary>
        /// <param name="dGrid"></param>
        /// <returns></returns>
        public static bool ExportDataGrid(DataGrid dGrid)
        {
            bool exportOK = false;

            #region 导出数据
            try
            {
                SaveFileDialog objSFD = new SaveFileDialog() { DefaultExt = "csv", Filter = "CSV Files (*.csv)|*.csv|Excel XML (*.xml)|*.xml|All files (*.*)|*.*", FilterIndex = 1 };
                if (objSFD.ShowDialog() == true)
                {
                    string strFormat = objSFD.SafeFileName.Substring(objSFD.SafeFileName.IndexOf('.') + 1).ToUpper();
                    StringBuilder strBuilder = new StringBuilder();
                    if (dGrid.ItemsSource == null) return false;
                    List<string> lstFields = new List<string>();
                    if (dGrid.HeadersVisibility == DataGridHeadersVisibility.Column || dGrid.HeadersVisibility == DataGridHeadersVisibility.All)
                    {
                        foreach (DataGridColumn dgcol in dGrid.Columns)
                            lstFields.Add(FormatField(dgcol.Header.ToString(), strFormat));
                        BuildStringOfRow(strBuilder, lstFields, strFormat);
                    }
                    foreach (object data in dGrid.ItemsSource)
                    {
                        lstFields.Clear();
                        foreach (DataGridColumn col in dGrid.Columns)
                        {
                            string strValue = "";
                            Binding objBinding = null;
                            if (col is DataGridBoundColumn)
                                objBinding = (col as DataGridBoundColumn).Binding;
                            if (col is DataGridTemplateColumn)
                            {
                                //This is a template column... let us see the underlying dependency object
                                DependencyObject objDO = (col as DataGridTemplateColumn).CellTemplate.LoadContent();
                                FrameworkElement oFE = (FrameworkElement)objDO;
                                FieldInfo oFI = oFE.GetType().GetField("TextProperty");
                                if (oFI != null)
                                {
                                    if (oFI.GetValue(null) != null)
                                    {
                                        if (oFE.GetBindingExpression((DependencyProperty)oFI.GetValue(null)) != null)
                                            objBinding = oFE.GetBindingExpression((DependencyProperty)oFI.GetValue(null)).ParentBinding;
                                    }
                                }
                            }
                            if (objBinding != null)
                            {
                                if (objBinding.Path.Path != "")
                                {
                                    PropertyInfo pi = data.GetType().GetProperty(objBinding.Path.Path);
                                    if (pi != null) strValue = pi.GetValue(data, null).ToString();
                                }
                                if (objBinding.Converter != null)
                                {
                                    if (strValue != "")
                                        strValue = objBinding.Converter.Convert(strValue, typeof(string), objBinding.ConverterParameter, objBinding.ConverterCulture).ToString();
                                    else
                                        strValue = objBinding.Converter.Convert(data, typeof(string), objBinding.ConverterParameter, objBinding.ConverterCulture).ToString();
                                }
                            }
                            lstFields.Add(FormatField(strValue, strFormat));
                        }
                        BuildStringOfRow(strBuilder, lstFields, strFormat);
                    }
                    StreamWriter sw = new StreamWriter(objSFD.OpenFile(), System.Text.Encoding.Unicode);
                    if (strFormat == "XML")
                    {
                        //Let us write the headers for the Excel XML
                        sw.WriteLine("<?xml version=\"1.0\" encoding=\"utf-8\"?>");
                        sw.WriteLine("<?mso-application progid=\"Excel.Sheet\"?>");
                        sw.WriteLine("<Workbook xmlns=\"urn:schemas-microsoft-com:office:spreadsheet\">");
                        sw.WriteLine("<DocumentProperties xmlns=\"urn:schemas-microsoft-com:office:office\">");
                        sw.WriteLine("<Author>Arasu Elango</Author>");
                        sw.WriteLine("<Created>" + DateTime.Now.ToLocalTime().ToLongDateString() + "</Created>");
                        sw.WriteLine("<LastSaved>" + DateTime.Now.ToLocalTime().ToLongDateString() + "</LastSaved>");
                        sw.WriteLine("<Company>Atom8 IT Solutions (P) Ltd.,</Company>");
                        sw.WriteLine("<Version>12.00</Version>");
                        sw.WriteLine("</DocumentProperties>");
                        sw.WriteLine("<Worksheet ss:Name=\"Silverlight Export\" xmlns:ss=\"urn:schemas-microsoft-com:office:spreadsheet\">");
                        sw.WriteLine("<Table>");
                    }
                    sw.Write(strBuilder.ToString());
                    if (strFormat == "XML")
                    {
                        sw.WriteLine("</Table>");
                        sw.WriteLine("</Worksheet>");
                        sw.WriteLine("</Workbook>");
                    }
                    sw.Close();
                    exportOK = true;
                }
            }
            catch (Exception ex)
            {
                exportOK = false;
                MessageBox.Show("保存失败："+ex.Message);
            }
            #endregion

            return exportOK;
           
        }

        /// <summary>
        /// 设置datagrid中每一行的数据内容
        /// </summary>
        /// <param name="strBuilder"></param>
        /// <param name="lstFields"></param>
        /// <param name="strFormat"></param>
        private static void BuildStringOfRow(StringBuilder strBuilder, List<string> lstFields, string strFormat)
        {
            switch (strFormat)
            {
                case "XML":
                    strBuilder.AppendLine("<Row>");
                    strBuilder.AppendLine(String.Join("\r\n", lstFields.ToArray()));
                    strBuilder.AppendLine("</Row>");
                    break;
                case "CSV":
                    strBuilder.AppendLine(String.Join("\t", lstFields.ToArray()));
                    break;
            }
        }
        
        /// <summary>
        /// 设置字符串输出格式
        /// </summary>
        /// <param name="data"></param>
        /// <param name="format"></param>
        /// <returns></returns>
        private static string FormatField(string data, string format)
        {
            switch (format)
            {
                case "XML":
                    return String.Format("<Cell><Data ss:Type=\"String\">{0}</Data></Cell>", data);
                case "CSV":
                    return String.Format("\"{0}\"", data.Replace("\"", "\"\"\"").Replace("\n", "").Replace("\r", ""));
            }
            return data;
        }
    }

导出数据时，只需要调用方法：datagrid.Export()即可