private void OnDataGridKeyboardGotFocus(object sender, KeyboardFocusChangedEventArgs e)
{
    var dg = sender as DataGrid;
    if (_hasHadInitialFocus) return;

    var rowIndex = dg.Items.Count - 2;
    if (rowIndex >= 0 && dg.Columns.Count - 1 >= 0)
    {
        var column = dg.Columns[dg.Columns.Count - 1];
        var item = dg.Items[rowIndex];
        var dataGridCellInfo = new DataGridCellInfo(item, column);

        if (dg.SelectionUnit != DataGridSelectionUnit.FullRow) {
            dg.SelectedCells.Clear();
            dg.SelectedCells.Add(dataGridCellInfo);
        }
        else {
            var row = dg.GetRow(rowIndex);
            row.IsSelected = true;
        }

        dg.CurrentCell = dataGridCellInfo;
        dg.BeginEdit();
    }

    _hasHadInitialFocus = true;
}

private void DataGridLostFocus(object sender, RoutedEventArgs e) {
        _hasHadInitialFocus = false;
    }

private bool _hasHadInitialFocus;

    private void DataGridGotKeyboardFocus(object sender, KeyboardFocusChangedEventArgs e)
    {
        if (!_hasHadInitialFocus)
        {
            if (dataGrid.Items.Count - 2 >= 0 && dataGrid.Columns.Count - 1 >= 0)
            {
                var dataGridCellInfo = new DataGridCellInfo(
                    dataGrid.Items[dataGrid.Items.Count - 2], dataGrid.Columns[dataGrid.Columns.Count - 1]);

                dataGrid.SelectedCells.Clear();
                dataGrid.SelectedCells.Add(dataGridCellInfo);
                dataGrid.CurrentCell = dataGridCellInfo;
                dataGrid.BeginEdit();
            }

            _hasHadInitialFocus = true;
        }
    }

private void DataGridGotKeyboardFocus(object sender, KeyboardFocusChangedEventArgs e)
    {
        EditCell();
    }

    private void PreviewMouseLBDown(object sender, MouseButtonEventArgs e)
    {
        if (!_hasHadInitialFocus)
        {
            e.Handled = true;
            EditCell();
        }
    }

    private void EditCell()
    {
        if (!_hasHadInitialFocus)
        {
            if (dataGrid.Items.Count - 2 >= 0 && dataGrid.Columns.Count - 1 >= 0)
            {
                var dataGridCellInfo = new DataGridCellInfo(
                    dataGrid.Items[dataGrid.Items.Count - 2], dataGrid.Columns[dataGrid.Columns.Count - 1]);

                dataGrid.SelectedCells.Clear();
                dataGrid.SelectedCells.Add(dataGridCellInfo);
                dataGrid.CurrentCell = dataGridCellInfo;
                dataGrid.BeginEdit();
            }

            _hasHadInitialFocus = true;
        }
    }