<DataGrid AutoGenerateColumns="False"
              ColumnWidth="100">
        <DataGrid.Resources>
            <Style TargetType="DataGridColumnHeader">
                <Setter Property="ToolTip" Value="{Binding //тут нужно привязаться к ToolTipText}"/>
            </Style>
        </DataGrid.Resources>
        <DataGrid.Columns>
            <local:DataGridTextColumnWithHeader
                                    Header="!hello"
                                    ToolTipText="hello!"
                                    />
        </DataGrid.Columns>
    </DataGrid>

public class DataGridTextColumnWithHeader : DataGridTextColumn
{
    public string ToolTipText
    {
        get { return (string)GetValue(ToolTipTextProperty); }
        set { SetValue(ToolTipTextProperty, value); }
    }

    public static readonly DependencyProperty ToolTipTextProperty =
        DependencyProperty.Register("ToolTipText", typeof(string), typeof(DataGridTextColumnWithHeader));
}