I don't think there's a way to do it INSIDE iOS, but if you sync with Apple's Address Book on a Mac you can create groups and those groups will sync back to the iPhone.
(It's possible that other programs (like Outlook) will do this too, but I really don't know.)
Also, if you use iCloud syncing you can log in to www.icloud.com and make groups in there, no matter what computer you use.