In steam, there is the feature to associate users to groups (e.g. a group called "DotA" - not everyone on my Steam plays DotA after all!). But in-game, my entire online friends list is tossed in my face, making it difficult to find at a glance all my friends who are on that play DotA.

I'd suggest at least enabling the ability to show online members of particular groups above the main "online" group. So it would look maybe like this:

PLAYING DOTA
a b c d ...
DOTA GROUP
sdf sdfs dd fsesfs
ONLINE
...
OFFLINE
...

It would be a "show groups" box and you check the ones you want to show above ONLINE.