I'd like to be able to have multiple levels of grouping when I create a custom sort. Instead of a dialog that looks like this (sorry for the ASCII art):

================================
first Sort by: [Field] [Direction]
then Sort by: [Field] [Direction]
...
----------------
Group by: [Field]
================================

You could simply do this:

================================
first [Group/Sort] by: [Field] [Direction]
then [Group/Sort] by: [Field] [Direction]
...
================================

Alternatively, this:

================================
first Sort by: [Field] [Direction] [ X ] Group
then Sort by: [Field] [Direction] [ X ] Group
then Sort by: [Field] [Direction] [ ] Group
then Sort by: [Field] [Direction] [ ] Group
...
================================


Once a user has picked "Sort", all subsequent choices become "Sort", since it's pretty weird to group *after* sorting. In my second UI proposal, the "Group" checkbox on the fourth and subsequence lines would be disabled to achieve this, since the user chose not to group on the third line.