/* You will need to edit/replace your $collection declaration in _prepareCollection() */

$collection = Mage::getResourceModel($this->_getCollectionClass())
    ->join(
        'sales/order_item',
        '`sales/order_item`.order_id=`main_table`.entity_id',
        array(
            'skus'  => new Zend_Db_Expr('group_concat(`sales/order_item`.sku SEPARATOR ",")'),
            'names' => new Zend_Db_Expr('group_concat(`sales/order_item`.name SEPARATOR ",")'),
            'quantities' => new Zend_Db_Expr('group_concat(`sales/order_item`.qty_ordered SEPARATOR ",")'),
            )
    );
$collection->getSelect()->group('entity_id');

/* You will then need to add new columns in _prepareColumns() */

$this->addColumn('sku', array(
    'header'    => Mage::helper('Sales')->__('Skus'),
    'width'     => '100px',
    'index'     => 'skus',
    'type'        => 'text',

));
$this->addColumn('names', array(
    'header'    => Mage::helper('Sales')->__('Name'),
    'width'     => '100px',
    'index'     => 'names',
    'type'        => 'text',
));

/* You will need to edit/replace your $collection declaration in _prepareCollection()

$collection = Mage::getResourceModel($this->_getCollectionClass())
    ->join(
        'sales/order_item',
        '`sales/order_item`.order_id=`main_table`.entity_id',
        array(
            'skus'  => new Zend_Db_Expr('group_concat(`sales/order_item`.sku SEPARATOR ",")'),
            'names' => new Zend_Db_Expr('group_concat(`sales/order_item`.name SEPARATOR ",")'),
            'quantities' => new Zend_Db_Expr('group_concat(`sales/order_item`.qty_ordered SEPARATOR ",")'),
            )
    );
$collection->getSelect()->group('entity_id');

/* You will then need to add new columns in _prepareColumns() */

$this->addColumn('sku', array(
    'header'    => Mage::helper('Sales')->__('Skus'),
    'width'     => '100px',
    'index'     => 'skus',
    'type'        => 'text',

));
$this->addColumn('names', array(
    'header'    => Mage::helper('Sales')->__('Name'),
    'width'     => '100px',
    'index'     => 'names',
    'type'        => 'text',
));

http://www.magentocommerce.com/boards/viewthread/218158/

Add the below commented sections into the appropriate functions in your /app/code/core/Mage/Adminhtml/Block/Sales/Order/Grid.php and you'll be good to go! This has been (personally) tested with 1.6.1.0

Add a SKU column to the order grid in Magento 1.6.1

php, magento

PHP