AZIndex is about to become even more useful! In a couple of days I will be releasing AZIndex v0.8.0, which includes several substantial upgrades, but the one most people are waiting for is the ability to sort posts by tag and category names. Yes, even if a post has gazillions of tags, it will appear a gazillion times in the index, if you select tags as your headings.
[WARNING: I have made a lot of changes to the plugin code in this release (remember, the plugin is still under development!) and even though I have done a lot of testing, there may be a few teething problems in the first few days. If you are using AZIndex as a critical part of your blog, please test the new version with your index first to make sure it is all working]