Try:
$tt = get_terms('my_custom_taxonomy', array(
// You can stick in orderby, order, exclude, child_of, etc. params here.
));
foreach ($tt as $term) :
// Output term name
print $term->name. ": ";
$q = new WP_Query(array(
'post_type' => 'custom_post_type_i_use',
'post_status' => 'publish',
'posts_per_page' => -1, // = all of 'em
'tax_query' => array(
'taxonomy' => $term->taxonomy,
'terms' => array( $term->term_id ),
'field' => 'term_id',
),
));
$first = true;
foreach ($q->posts as $item) :
// ... now do something with $item, for example: ...
if ($first) : $first = false; else : print ", "; endif;
print '<a href="'.get_permalink($item->ID).'">'
.$item->post_title.'</a>';
endforeach;
endforeach;
Does that do more or less what you needed?