Gary,
I've ran up against a similar Views problem as well and posted about it. In my case, the tutorial that Caridad pointed you to (and me) only deals with using taxonomies as "group y" headings. My issue was wanting to use post types. See my past thread here: http://wp-types.com/forums/topic/query-and-display-posts-with-tags-from-different-taxonomies/
Like in Drupal, you probably are looking for a "Group by" feature that allows for filtering at various levels. This does the heavy lifting and gets rid of repetition of headings, etc. Otherwise, in WordPress Views you need to nest and filter and it gets very difficult to manage, very quickly.
I was told that "Group by" was coming, but like all software dev, I only believe it once I see AND try it. Hopefully, Views will support this much needed feature soon, and make it elegant and simple to use. Until then, I'm stuck in Drupal Views 3 land for controlled "grouped-by" listings that are dead simple to set up.
Not much help, I know, but perhaps my post will motivate the dev's to push this feature out the door sooner rather than later.
Matt D