Magento: Admin Grid Remove Column From Export

You Can do this by using is_system attribute for example:

$this->addColumn('column_name', array(
    'header'    => Mage::helper('warranty')->__('Batch Number'),
    'align'     => 'left',
    'width'     => '120px',
    'index'     => 'column_name',
    'is_system' => true,
));

Now column with column_name will not be exported.