Thank you all for all answers.
Finally I used a combination from Rex M and adrianbanks, and added my own improvements, to simplify the binding to ComboBox.
The changes were needed because, while working on the code, I realized sometimes I need to be able to exclude one enumeration item from the combo.
E.g. 
Enum Complexity
{
  // this will be used in filters, 
  // but not in module where I have to assign Complexity to a field
  AllComplexities,  
  NotSoComplex,
  LittleComplex,
  Complex,
  VeryComplex
}
So sometimes I want the picklist to show all but AllComplexities (in add - edit modules) and other time to show all (in filters)
Here's what I did:
- I created a extension method, that uses Description Attribute as localization lookup key. If Description attribute is missing, I create the lookup localization key as EnumName_
EnumValue. Finally, if translation is missing I just split enum name based on camelcase to separate words as shown by adrianbanks. BTW, TranslationHelper is a wrapper around resourceMgr.GetString(...)
The full code is shown below
public static string GetDescription(this System.Enum value)
{
    string enumID = string.Empty;
    string enumDesc = string.Empty;
    try 
    {         
        // try to lookup Description attribute
        FieldInfo field = value.GetType().GetField(value.ToString());
        object[] attribs = field.GetCustomAttributes(typeof(DescriptionAttribute), true);
        if (attribs.Length > 0)
        {
            enumID = ((DescriptionAttribute)attribs[0]).Description;
            enumDesc = TranslationHelper.GetTranslation(enumID);
        }
        if (string.IsNullOrEmpty(enumID) || TranslationHelper.IsTranslationMissing(enumDesc))
        {
            // try to lookup translation from EnumName_EnumValue
            string[] enumName = value.GetType().ToString().Split('.');
            enumID = string.Format("{0}_{1}", enumName[enumName.Length - 1], value.ToString());
            enumDesc = TranslationHelper.GetTranslation(enumID);
            if (TranslationHelper.IsTranslationMissing(enumDesc))
                enumDesc = string.Empty;
        }
        // try to format CamelCase to proper names
        if (string.IsNullOrEmpty(enumDesc))
        {
            Regex capitalLetterMatch = new Regex("\\B[A-Z]", RegexOptions.Compiled);
            enumDesc = capitalLetterMatch.Replace(value.ToString(), " $&");
        }
    }
    catch (Exception)
    {
        // if any error, fallback to string value
        enumDesc = value.ToString();
    }
    return enumDesc;
}
I created a generic helper class based on Enum, which allow to bind the enum easily to DataSource
public class LocalizableEnum
{
    /// <summary>
    /// Column names exposed by LocalizableEnum
    /// </summary>
    public class ColumnNames
    {
        public const string ID = "EnumValue";
        public const string EntityValue = "EnumDescription";
    }
}
public class LocalizableEnum<T>
{
    private T m_ItemVal;
    private string m_ItemDesc;
    public LocalizableEnum(T id)
    {
        System.Enum idEnum = id as System.Enum;
        if (idEnum == null)
            throw new ArgumentException(string.Format("Type {0} is not enum", id.ToString()));
        else
        {
            m_ItemVal = id;
            m_ItemDesc = idEnum.GetDescription();
        }
    }
    public override string ToString()
    {
        return m_ItemDesc;
    }
    public T EnumValue
    {
        get { return m_ID; }
    }
    public string EnumDescription
    {
        get { return ToString(); }
    }
}
Then I created a generic static method that returns a List>, as below
public static List<LocalizableEnum<T>> GetEnumList<T>(object excludeMember)
{
    List<LocalizableEnum<T>> list =null;
    Array listVal = System.Enum.GetValues(typeof(T));
    if (listVal.Length>0)
    {
        string excludedValStr = string.Empty;
        if (excludeMember != null)
            excludedValStr = ((T)excludeMember).ToString();
        list = new List<LocalizableEnum<T>>();
        for (int i = 0; i < listVal.Length; i++)
        {
            T currentVal = (T)listVal.GetValue(i);
            if (excludedValStr != currentVal.ToString())
            {
                System.Enum enumVal = currentVal as System.Enum;
                LocalizableEnum<T> enumMember = new LocalizableEnum<T>(currentVal);
                list.Add(enumMember);
            }
        }
    }
    return list;
}
and a wrapper to return list with all members
public static List<LocalizableEnum<T>> GetEnumList<T>()
{
        return GetEnumList<T>(null);
}
Now let's put all things together and bind to actual combo:
// in module where we want to show items with all complexities
// or just filter on one complexity
comboComplexity.DisplayMember = LocalizableEnum.ColumnNames.EnumValue;
comboComplexity.ValueMember = LocalizableEnum.ColumnNames.EnumDescription;
comboComplexity.DataSource = EnumHelper.GetEnumList<Complexity>();
comboComplexity.SelectedValue = Complexity.AllComplexities;
// ....
// and here in edit module where we don't want to see "All Complexities"
comboComplexity.DisplayMember = LocalizableEnum.ColumnNames.EnumValue;
comboComplexity.ValueMember = LocalizableEnum.ColumnNames.EnumDescription;
comboComplexity.DataSource = EnumHelper.GetEnumList<Complexity>(Complexity.AllComplexities);
comboComplexity.SelectedValue = Complexity.VeryComplex; // set default value
To read selected the value and use it, I use code as below
Complexity selComplexity = (Complexity)comboComplexity.SelectedValue;