In addition to the accepted answers above I created a generic 'groupBy' filter using the underscore.js library.

JSFiddle (updated): http://jsfiddle.net/TD7t3/

The filter

app.filter('groupBy', function() {
    return _.memoize(function(items, field) {
            return _.groupBy(items, field);
        }
    );
});

Note the 'memoize' call. This underscore method caches the result of the function and stops angular from evaluating the filter expression every time, thus preventing angular from reaching the digest iterations limit.

The html

<ul>
    <li ng-repeat="(team, players) in teamPlayers | groupBy:'team'">
        {{team}}
        <ul>
            <li ng-repeat="player in players">
                {{player.name}}
            </li>
        </ul>
    </li>
</ul>

We apply our 'groupBy' filter on the teamPlayers scope variable, on the 'team' property. Our ng-repeat receives a combination of (key, values[]) that we can use in our following iterations.

Update June 11th 2014 I expanded the group by filter to account for the use of expressions as the key (eg nested variables). The angular parse service comes in quite handy for this:

The filter (with expression support)

app.filter('groupBy', function($parse) {
    return _.memoize(function(items, field) {
        var getter = $parse(field);
        return _.groupBy(items, function(item) {
            return getter(item);
        });
    });
});

The controller (with nested objects)

app.controller('homeCtrl', function($scope) {
    var teamAlpha = {name: 'team alpha'};
    var teamBeta = {name: 'team beta'};
    var teamGamma = {name: 'team gamma'};

    $scope.teamPlayers = [{name: 'Gene', team: teamAlpha},
                      {name: 'George', team: teamBeta},
                      {name: 'Steve', team: teamGamma},
                      {name: 'Paula', team: teamBeta},
                      {name: 'Scruath of the 5th sector', team: teamGamma}];
});

The html (with sortBy expression)

<li ng-repeat="(team, players) in teamPlayers | groupBy:'team.name'">
    {{team}}
    <ul>
        <li ng-repeat="player in players">
            {{player.name}}
        </li>
    </ul>
</li>

JSFiddle: http://jsfiddle.net/k7fgB/2/

First do a loop using a filter that will return only unique teams, and then a nested loop that returns all players per current team:

http://jsfiddle.net/plantface/L6cQN/

html:

<div ng-app ng-controller="Main">
    <div ng-repeat="playerPerTeam in playersToFilter() | filter:filterTeams">
        <b>{{playerPerTeam.team}}</b>
        <li ng-repeat="player in players | filter:{team: playerPerTeam.team}">{{player.name}}</li>        
    </div>
</div>

script:

function Main($scope) {
    $scope.players = [{name: 'Gene', team: 'team alpha'},
                    {name: 'George', team: 'team beta'},
                    {name: 'Steve', team: 'team gamma'},
                    {name: 'Paula', team: 'team beta'},
                    {name: 'Scruath of the 5th sector', team: 'team gamma'}];

    var indexedTeams = [];

    // this will reset the list of indexed teams each time the list is rendered again
    $scope.playersToFilter = function() {
        indexedTeams = [];
        return $scope.players;
    }

    $scope.filterTeams = function(player) {
        var teamIsNew = indexedTeams.indexOf(player.team) == -1;
        if (teamIsNew) {
            indexedTeams.push(player.team);
        }
        return teamIsNew;
    }
}

I originally used Plantface's answer, but I didn't like how the syntax looked in my view.

I reworked it to use $q.defer to post-process the data and return a list on unique teams, which is then uses as the filter.

http://plnkr.co/edit/waWv1donzEMdsNMlMHBa?p=preview

View

<ul>
  <li ng-repeat="team in teams">{{team}}
    <ul>
      <li ng-repeat="player in players | filter: {team: team}">{{player.name}}</li> 
    </ul>
  </li>
</ul>

Controller

app.controller('MainCtrl', function($scope, $q) {

  $scope.players = []; // omitted from SO for brevity

  // create a deferred object to be resolved later
  var teamsDeferred = $q.defer();

  // return a promise. The promise says, "I promise that I'll give you your
  // data as soon as I have it (which is when I am resolved)".
  $scope.teams = teamsDeferred.promise;

  // create a list of unique teams. unique() definition omitted from SO for brevity
  var uniqueTeams = unique($scope.players, 'team');

  // resolve the deferred object with the unique teams
  // this will trigger an update on the view
  teamsDeferred.resolve(uniqueTeams);

});

Both answers were good so I moved them in to a directive so that it is reusable and a second scope variable doesn't have to be defined.

Here is the fiddle if you want to see it implemented

Below is the directive:

var uniqueItems = function (data, key) {
    var result = [];
    for (var i = 0; i < data.length; i++) {
        var value = data[i][key];
        if (result.indexOf(value) == -1) {
            result.push(value);
        }
    }
    return result;
};

myApp.filter('groupBy',
            function () {
                return function (collection, key) {
                    if (collection === null) return;
                    return uniqueItems(collection, key);
        };
    });

Then it can be used as follows:

<div ng-repeat="team in players|groupBy:'team'">
    <b>{{team}}</b>
    <li ng-repeat="player in players | filter: {team: team}">{{player.name}}</li>        
</div>

Update

I initially wrote this answer because the old version of the solution suggested by Ariel M. when combined with other $filters triggered an "Infite $diggest Loop Error" (infdig). Fortunately this issue has been solved in the latest version of the angular.filter.

I suggested the following implementation, that didn't have that issue:

angular.module("sbrpr.filters", [])
.filter('groupBy', function () {
  var results={};
    return function (data, key) {
        if (!(data && key)) return;
        var result;
        if(!this.$id){
            result={};
        }else{
            var scopeId = this.$id;
            if(!results[scopeId]){
                results[scopeId]={};
                this.$on("$destroy", function() {
                    delete results[scopeId];
                });
            }
            result = results[scopeId];
        }

        for(var groupKey in result)
          result[groupKey].splice(0,result[groupKey].length);

        for (var i=0; i<data.length; i++) {
            if (!result[data[i][key]])
                result[data[i][key]]=[];
            result[data[i][key]].push(data[i]);
        }

        var keys = Object.keys(result);
        for(var k=0; k<keys.length; k++){
          if(result[keys[k]].length===0)
            delete result[keys[k]];
        }
        return result;
    };
});

However, this implementation will only work with versions prior to Angular 1.3. (I will update this answer shortly providing a solution that works with all versions.)

I've actually wrote a post about the steps that I took to develop this $filter, the problems that I encountered and the things that I learned from it.

In addition to the accepted answer you can use this if you want to group by multiple columns:

<ul ng-repeat="(key, value) in players | groupBy: '[team,name]'">

If you need that in js code. You can use injected method of angula-filter lib. Like this.

function controller($scope, $http, groupByFilter) {     

   var groupedData = groupByFilter(originalArray, 'groupPropName');

}

https://github.com/a8m/angular-filter/wiki/Common-Questions#inject-filters