public class DgColumnBehavior : Behavior<DataGrid>
{
    protected ICommand ToggleColumnVisibilityCmd;
    protected DataGrid _AssociatedObject;
    private static VisibilityToBooleanConverter visibilityToBooleanConverter = new VisibilityToBooleanConverter() { HiddenState = Visibility.Hidden };

    protected override void OnAttached()
    {
        this.ToggleColumnVisibilityCmd = new DelegateCommand<DataGridColumn>(ToggleColumnVisibilityCmdExecute);
        this._AssociatedObject = (DataGrid)this.AssociatedObject;

        Observable.FromEventPattern(this._AssociatedObject, "Loaded")
            .Take(1)
            .Subscribe(x => _AssociatedObject_Loaded());

        base.OnAttached();
    }

    void _AssociatedObject_Loaded()
    {
        var columnHeaders = this._AssociatedObject.SafeFindDescendants<DataGridColumnHeader>();  // see second code piece for the SafeFindDescendants extension method

        foreach (var columnHeader in columnHeaders)
        {
            EnsureSeparateContextMenuFor(columnHeader);

            if (columnHeader.ContextMenu.ItemsSource != null)
            {
                // ContextMenu has an ItemsSource, so need to add items to that -
                // ommitted though as irrelevant for example
            }
            else
            {
                // No ItemsSource assigned to the Menu, so we can just add directly

                foreach (var item in CreateMenuItemsFor(columnHeader))
                    columnHeader.ContextMenu.Items.Add(item);
            }
        }
    }

    /// Ensures that the columnHeader ...
    /// A) has a ContextMenu, and
    /// B) that is has an individual context menu, i.e. one that isn't shared with any other DataGridColumnHeaders.
    ///
    /// I'm doing that as in practice, I'm adding some further items that are specific to each column, so I can't have a shared context menu
    private void EnsureSeparateContextMenuFor(DataGridColumnHeader columnHeader)
    {
        if (columnHeader.ContextMenu == null)
        {
            columnHeader.ContextMenu = new ContextMenu();
        }
        else
        {
            // clone the existing menu
            // ommitted as irrelevant for example
        }
    }

    /// Creates one menu item for each column of the underlying DataGrid to toggle that column's visibility
    private IEnumerable<FrameworkElement> CreateMenuItemsFor(DataGridColumnHeader columnHeader)
    {
        foreach (var column in _AssociatedObject.Columns)
        {
            var item = new MenuItem();
            item.Header = String.Format("Toggle visibility for {0}", column.Header);
            item.Command = ToggleColumnVisibilityCmd;
            item.CommandParameter = column;

            yield return item;
        }
    }

    // Gets executed when the user clicks on one of the ContextMenu items
    protected void ToggleColumnVisibilityCmdExecute(DataGridColumn column)
    {
        bool isVisible = (column.Visibility == Visibility.Visible);
        Visibility newVisibility = (isVisible) ? Visibility.Hidden : Visibility.Visible;
        column.Visibility = newVisibility;
    }
}

public static class Visual_ExtensionMethods
{
    public static IEnumerable<T> SafeFindDescendants<T>(this Visual @this, Predicate<T> predicate = null) where T : Visual
    {
        if (@this != null)
        {
            int childrenCount = VisualTreeHelper.GetChildrenCount(@this);
            for (int i = 0; i < childrenCount; i++)
            {
                var currentChild = VisualTreeHelper.GetChild(@this, i);

                var typedChild = currentChild as T;
                if (typedChild == null)
                {
                    var result = ((Visual)currentChild).SafeFindDescendants<T>(predicate);

                    foreach (var r in result)
                        yield return r;

                }
                else
                {
                    if (predicate == null || predicate(typedChild))
                    {
                        yield return typedChild;
                    }
                }
            }

        }
    }
}