I have solved this problem with the following code:
$this->addColumn('ship_country', array(
'header' => $this->__('Country'),
'index' => 'countrycode',
'type' => 'options',
'options' => Mage::helper('mymodule')->getCountries(),
));
Where Helper getCountries()
method looks something like this:
public function getCountries() {
$collection = Mage::getModel('mymodule/entity')->getCollection();
$collection->getSelect()->group('countrycode');
$countries = array();
foreach($collection as $item)
$countries[$item->getcountrycode()] = Mage::getModel('directory/country')->load($item->getcountrycode())->getName();
return $countries;
}