It would be great if this was possible - behaviour similar to MS Excel's sort would be good.
If the addition of advanced sorting isn't immediately possible perhaps the the default behaviour could be improved...
What I would like to see happen is if I sort by column A and then sort by column B, I should see the the column A sort still present in the items within the B sort.
At the moment if I sort by column A and then sort by column B, I get the the column B sort but items within this sort take on (what is I assume) a random sort order.
I hope I'm making sense! If not try sorting first by Status and then by Priority. I'd like to see all the similar Status tasks grouped together within the Priority sort.
Finally, and this is a minor point, does anyone agree that sorting by Priority should put the highest priority jobs at the top of the list instead of the bottom? I know you can reverse this by clicking the heading a second time but the current behaviour seems backwards to me!