The column header of the DataGrid is not a FrameWork element for some reason, and so you cannot use bindings to set things like the header text. Please correct me if that is
BTW, in Silverlight (tested with SL 3.0) you can simply use the Header property as the DataContext for the ControlTemplate set via HeaderStyle (see my related question on SO).
I just tried this solution in WPF 3.5 using the WPF Toolkit DataGrid and it works!