...

protected function _prepareCollection()
    {
        $collection = Mage::getResourceModel($this->_getCollectionClass());
        $collection->getSelect()->join('sales_flat_order_address', 'main_table.entity_id = sales_flat_order_address.parent_id',array('postcode'));
        $this->setCollection($collection);
        return parent::_prepareCollection();
    }

...

$this->addColumn('postcode', array(
    'header' => Mage::helper('sales')->__('Postcode'),
    'index' => 'postcode',
));