would be nice to have the possibility to sort the datagrid on multiple columns.

e.g.

1) click on "Sort by Product"
2) SHIFT + clock on "Sort by Status"

would result an SQL similar to "... ORDERY BY product, status"

Thats a common feature, which is also possible in e.g. MS Office

I'll have to think of how to do this in a way that's web-suitable but I agree that it would be helpful.

one way would be a custom context menu

just found jquery ui tools, which allow sorting of tables and also allow sorting on several columns when pressing SHIFT key

see
http://dev.jquery.com/view/trunk/plugins/ui/demos/ui.tablesorter.html