Sort posts by category

lets say i’m on the index page and viewing all post, then they are sorted by date. But if i want them to get sorted something like this:

<h2>Category2</h2>
post1 i category2
post2 i category2
post3 i category2

<h2>Category3</h2>
post1 i category3
post2 i category3
post3 i category3 and so on…

Any pointers on sorting post like this?