I've seen Brian Welcker (a group PM for SSRS - http://blogs.msdn.com/bwelcker/default.aspx) do a few demos in which he showed the new interactive sort capability of SQL Server Reporting Services 2005: It allows the user to sort columns in a report without having to round-trip back to the data source, which is a very good thing.
Anyway, you can also sort on multiple columns at the same time with ease...however, the version of 2005 Books Online I have loaded didn't document how...To get it to work, do this:
1. In design mode, use the BOL help topic "Sorting Data in Report Desinger" (check out the "Interactive Sorting" section) to specify which columns will allow interactive sorting
2. Preview the report. and click an up/down sort indicator to sort by your first column
3. Hold SHIFT and click on other up/down indicators to sort on the 2nd, 3rd, etc. columns (without releasing the original selections you made)
Thanks to Jason Carlson for helping me with this.