So you have a fancy jQuery table sorter that you want to use but just realized, or thought you knew, that the Gridview control does not render the thead tags.  Guess what ,it does!  You just have to add this tidbit of code in your codebehind before the prerender event and viola!

GridView1.HeaderRow.TableSection = TableRowSection.TableHeader

This will render the thead and you are all ready to go with that new little jQuery toy you just downloaded.