Infragistics WebDataGrid/WHDG controls for ASP.NET offer nice filtering features. Out of the box you just have to enable the behavior and badabingo:

There is one glitch though in the way text filtering is implemented: If you enter an empty string as a filter value – an error is thrown:

Async refresh failed. Length cannot be less than zero

Apparently internal grid code cannot handle empty strings (as of version 12.2) so we have to take matter in our own hands.
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