Yes its possible using MetaX (at least under windows, but should work on Mac as well)
Say you want to group the first 3 Star Wars movies together then do the following:-
For Episode 1 The Phantom Menace, tag it and set the title field to something like Episode 1 - The Phantom Menace, Now the trick is under TV Tags set the show to Star Wars and under the sorting tags set the sort name to Star wars 1.
For Episode 2 Attack of the Clones, tag it and set the title field to something like Episode 2 - Attack of the Clones, Now the trick is under TV Tags set the show to Star Wars and under the sorting tags set the sort name to Star wars 2.
Do this for all the films you want to group together, making sure the TV Show name is the same for all of them. The sort name is just to make sure they are listed in the right order.
I know it sound daft using the TV Show name field for movies but it works perfectly. You wont see any change in iTunes but on your ATV when you goto Movies you will have a single entry for Star Wars and when you select it you will then see each movie listed seperatly.
I have quite a few trilogys on my ATV using this method and it works perfectly.
A quick note you could also do it just by editing the info in iTunes with out using MetaX but the changes wont be saved into the video files like with MetaX so if ever you need to rebuild your library you'd need to enter it again. Just use get info in itunes and set the Programme field under the Video tab to the same name for each movie you want to group together.