Taken from a wordpress support thread:
http://wordpress.org/support/topic/custom-posts-type-with-custom-taxonomy-wp_query-1

<?php
//for a given post type, return all
$post_type = 'discography';
$tax = 'recordings';
$tax_terms = get_terms($tax);
if ($tax_terms) {
  foreach ($tax_terms  as $tax_term) {
    $args=array(
      'post_type' => $post_type,
      "$tax" => $tax_term->slug,
      'post_status' => 'publish',
      'posts_per_page' => -1,
      'caller_get_posts'=> 1
    );

    $my_query = null;
    $my_query = new WP_Query($args);
    if( $my_query->have_posts() ) {
      echo 'List of '.$post_type . ' where the taxonomy '. $tax . '  is '. $tax_term->name;
      while ($my_query->have_posts()) : $my_query->the_post(); ?>
        <p><a href="<?php the_permalink() ?>" rel="bookmark" title="Permanent Link to <?php the_title_attribute(); ?>"><?php the_title(); ?></a></p>
        <?php
      endwhile;
    }
    wp_reset_query();
  }
}
?>