Occasionally I have data that looks like this, sorted on the "Value" column:

It's always annoyed me that Excel couldn't read my mind and figure out that I wanted to sort them in "High, Medium, Low" order. Recently I found out that it is possible to do this by creating a "Custom List" in excel:

1. In Excel, go to Data | Sort (I'm using Excel 2007)
2. In the Order column, select "Custom List"
3. On the right-hand side, enter "High, Medium, Low"
4. Click Add and OK
5. Make sure High, Medium, Low is selected in the "Order" column and press OK

Then the data will be sorted as you'd expect:

Excel also has some handy built-in lists for days of the week, months, abbreviated months, etc.