I'm actually struggling a bit with the same thing myself, except I have a prerequisite that the selection notification be done via an ICommand; however, if you do not have this need, you can wire up the SelectionChanged event handler. It's pretty elementary stuff, but I'll include the code just in case:
XAML:
<Grid>
<DataGrid:DataGridControl x:Name="gridControl" SelectionChanged="gridControl_SelectionChanged">
<!-- Content -->
</DataGrid:DataGridControl>
</Grid>
Code-behind:
private void gridControl_SelectionChanged(object sender, Xceed.Wpf.DataGrid.DataGridSelectionChangedEventArgs e)
{
var selectedIndex = gridControl.SelectedIndex; // int index
var selectedItem = gridControl.SelectedItem; // instance of bound object
var selectedItems = gridControl.SelectedItems; // IList of bound objects
}
All that said, I'm very interested to hear if there are any elegant solutions for getting the selected row from an Xceed DataGrid with an ICommand (in my case, I'm using anonymous types, which can make a difference)...