There is a tool in Cartography toolbox: http://help.arcgis.com/en/arcgisdesktop/10.0/help/index.html#/Make_Grids_And_Graticules_Layer/007000.... This tool is called Make Grids And Graticules Layer. As the output of the tool, you get some feature classes for which you apply more advanced symbology. Have not tested it myself, but it seems as you can get at least some parts of the text formatting done. The tool is available with ArcEditor and ArcInfo licenses.
PS. Just tested formatting options in 10.1 installed on another machine and it looks as nothing has changed since 10 regarding this.