Custom post type multiple loop by taxonomy term

Try:

$tt = get_terms('my_custom_taxonomy', array(
    // You can stick in orderby, order, exclude, child_of, etc. params here.
));

foreach ($tt as $term) :
    // Output term name
    print $term->name.  ": ";

    $q = new WP_Query(array(
        'post_type' => 'custom_post_type_i_use',
        'post_status' => 'publish',
        'posts_per_page' => -1, // = all of 'em
        'tax_query' => array(
            'taxonomy' => $term->taxonomy,
            'terms' => array( $term->term_id ),
            'field' => 'term_id',
        ),
    ));

    $first = true;
    foreach ($q->posts as $item) :
        // ... now do something with $item, for example: ...
        if ($first) : $first = false; else : print ", "; endif;
        print '<a href="'.get_permalink($item->ID).'">'
          .$item->post_title.'</a>';
    endforeach;
endforeach;

Does that do more or less what you needed?