If you click on that, you’ll see why I think it’s so nifty—there are all sorts of options under there.
You could choose, say, to sort your messages by whom they’re from, by their subject alphabetically, by their size, or whether they’ve been read. Also, when you pick one of those options, the two bottom selections will change appropriately. For example, sorting by “From” will switch the bottom toggles to “A to Z” and “Z to A,” so that you can choose whatever floats your boat.
And sorting by size will let you put either the smallest message on top or the largest.
Keep in mind that this setting is on a mailbox-by-mailbox basis, so if it makes sense for you to sort your sent messages by recipient but keep your inbox sorted by date, that’s simple enough. Just click on each mailbox in the sidebar and change it to whatever you’d like.
Finally, under recent versions of iOS, you can turn on a similar feature (as I pointed out in this previous tip), even if you can’t sort everything like you can on OS X. What you’ll do is go out to the “Mailboxes” screen in the Mail app, tap “Edit,” and then toggle on any of the special sorting mailboxes you want to use.
As you can see, you can turn on special mailboxes that will show only inbox messages that have attachments, ones that are unread, those from your VIPs, and so on. So even if you can’t really change how your inbox on your iPhone sorts itself, you can get similar functionality with just a couple of tweaks!