IMO this is the best tutorial on SPGridView :

Building A SPGridView Control – Part 1: Introducing the SPGridView

You can easily modify ObjectDataSource SelectData method to return data from SQL server.

Some additional info can be found in my answer provided on following question:

Sharepoint 2007-Web Part - GridView -Paging Problem

IMO this is the best tutorial on SPGridView :

Building A SPGridView Control – Part 1: Introducing the SPGridView

You can easily modify ObjectDataSource SelectData method to return data from SQL server.

Some additional info can be found in my answer provided on following question:

Sharepoint 2007-Web Part - GridView -Paging Problem