Thanks for the reply.
Just curious. Is it possible for me to change the embedstyles option through the code behind and not the web.config? I don't want to set that explicitly for all pages. If there is a session variable like the Coolite.Theme option it would be great. Actually, it would be nice if there's a list of possible session variables 
I also found out that the reason I could not override the css style is that the ext-all.css is added after my css declaration so I had to add a scriptcontainer like this:
<head runat="server">
<title>Hello World!</title>
<cool:ScriptContainer runat="server" />
<style type="text/css">
th.mygridview
{
text-align: center;
}
</style>
</head>
So, problem solved!