using data source and data source id property you can directly bind your dropdown list to your database.
like you have to declare on sqldatasource control to your page and use the id of that sqldatasource control to directly bind data to your drop down list
<asp:sqldatasource id="CostGroupDataSource" runat="server" selectcommand="SELECT tblCostGroup.costGroupID, tblCostGroup.costGroup FROM tblCostGroup ORDER BY tblCostGroup.costGroup">
<asp:dropdownlist id="ddltest" width="152px" runat="server" datasourceid="CostGroupDataSource" datatextfield="COSTGROUP" datavaluefield="COSTGROUPID" appenddatabounditems="true">
<asp:listitem text="" value="">