The PropertyGrid control is convenient for adding object editing support with minimal code.  However, for some reason it does not support property navigation with the tab key.  Instead, clicking tab key will progressively set focus to other controls in your form.  This post provides a simple subclassed PropertyGrid with support for tab-key navigation of properties.

Below is the source code to a subclassed PropertyGrid control called TabbedPropertyGrid.  There were two major issues that needed to be overcome.  The first is that the PropertyGrid does not raise any keyboard events, to workaround this the subclassed PropertyGrid must hijack keyboard events from the parent form.  The second issue is that there is no intuitive way to navigate GridItems.  However, this MSDN forum thread provided a few clues to solve this using the Griditems and Parent property.

public class TabbedPropertyGrid : PropertyGrid {
    public TabbedPropertyGrid() : base() { }
    public void SetParent(Form form) {
        // Catch null arguments
        if (form == null) {
            throw new ArgumentNullException("form");
        }

        // Set this property to intercept all events
        form.KeyPreview = true;

        // Listen for keydown event
        form.KeyDown += new KeyEventHandler(this.Form_KeyDown);
    }
    private void Form_KeyDown(object sender, KeyEventArgs e) {
        // Exit if cursor not in control
        if (!this.RectangleToScreen(this.ClientRectangle).Contains(Cursor.Position)) {
            return;
        }

        // Handle tab key
        if (e.KeyCode != Keys.Tab) { return; }
        e.Handled = true;
        e.SuppressKeyPress = true;

        // Get selected griditem
        GridItem gridItem = this.SelectedGridItem;
        if (gridItem == null) { return; }

        // Create a collection all visible child griditems in propertygrid
        GridItem root = gridItem;
        while (root.GridItemType != GridItemType.Root) {
            root = root.Parent;
        }
        List<GridItem> gridItems = new List<GridItem>();
        this.FindItems(root, gridItems);

        // Get position of selected griditem in collection
        int index = gridItems.IndexOf(gridItem);

        // Select next griditem in collection
        this.SelectedGridItem = gridItems[++index];
    }
    private void FindItems(GridItem item, List<GridItem> gridItems) {
        switch (item.GridItemType) {
            case GridItemType.Root:
            case GridItemType.Category:
                foreach (GridItem i in item.GridItems) {
                    this.FindItems(i, gridItems);
                }
                break;
            case GridItemType.Property:
                gridItems.Add(item);
                if (item.Expanded) {
                    foreach (GridItem i in item.GridItems) {
                        this.FindItems(i, gridItems);
                    }
                }
                break;
            case GridItemType.ArrayValue:
                break;
        }
    }
}

After adding the TabbedPropertyGrid to your form, the form must be parsed into the control using the SetParent method.

public partial class Form1 : Form {
    public Form1() {
        InitializeComponent();

        // Assign the form to the propertygrid
        this.tabbedPropertyGrid1.SetParent(this);
        this.tabbedPropertyGrid1.SelectedObject = this;
    }
}

Known Issues:  Shift-Tab does not select properties in reverse order.