If you display a result set and then click a column header to sort by that column I think the displayed icon is incorrect.
For instance if I click the column header so that the data is displayed in descending order, the displayed icon is an upward pointing triangle. I associate an "upward pointing triangle" with 'sort ascending'.
Similarly, if I click the column header to display in ascending order then the icon is a "downward pointing triangle", again the reverse of what I'd expect.
Obviously not a major issue but it confused the heck out of me at first.
I really like the 'third click' option which returns the result set (I think) to th eoriginal display order. This can be very useful.