<?php
// get all the categories from the database
$cats = get_categories();

// loop through the categries
foreach ($cats as $cat) {
// setup the cateogory ID
$cat_id= $cat->term_id;
// Make a header for the cateogry
echo "<h2>".$cat->name."</h2>";
// create a custom wordpress query
query_posts("cat=$cat_id&posts_per_page=100");
// start the wordpress loop!
if (have_posts()) : while (have_posts()) : the_post(); ?>

<?php // create our link now that the post is setup ?>
<a href="<?php the_permalink();?>"><?php the_title(); ?></a>
<?php echo '<hr/>'; ?>

<?php endwhile; endif; // done our wordpress loop. Will start again for each category ?>
                <?php } // done the foreach statement ?>