What to return for object data type?

That depends on the type of teh property - which would appear to be string.
In that case, you have only two options: return null or an empty string.
The system will not allow you to return any other datatype, string is a sealed class so you can't return a derived class, and with no information in the row to return there is no "good" string you can return.

Depends on you: if you habitually check for nulls, then use that. If you don't then an empty string means there is less chance of your external code crashing on a null reference exception...

It depends what a DBNull (a null value in your data source) represents. In most cases it just means that the data is not present and therefore you should return a 'missing value' equivalent in your code – which for reference types is null.

The whole concept of DBNull confuses me somewhat – why does the framework not just give you the framework null when reading null cells from a data provider? It's what you want 99% of the time and it would mean the cast worked correctly in accessors like this.

return empty string

get
            {
                object loValue;
                loValue = this.CurrentRow["LeaveCode"];
                if (loValue == DBNull.Value)
                {
                    return string.empty;
                }
                else
                {
                    return (System.String)loValue;
                }
            }
            set
            {
                this.CurrentRow["LeaveCode"] = value;
            }