Turns out VicarlnATutu wasn't quite right.
You can do this, but only if you are using VS2010 (which I am) because it includes the new SSRS rendering engine for SQL-Server 2008. This allows you to put some basic HTML into a field and have multiple formats in one cell. For more info see below:
http://msdn.microsoft.com/en-us/library/cc645967.aspx
http://msdn.microsoft.com/en-us/library/cc627491.aspx
One thing that tripped me up is what they call a 'placeholder' in the MS documentation is the little bit of text inside the textbox control that shows up by default. You can select two different things on the control in VS2010. One is the textbox itself. Right clicking on the textbox gives you 'text box properties'. The other thing you can select is the default text INSIDE the textbox. Right clicking on this 'placeholder' text gives you a different context menu where you can select 'placeholder properties'. This is where you can change the cell to accept HTML.