After lots of thinking and seeing a similar solution by Heidi at Red Letter Quilts, I finally have a thread sorter that I like.
I had several requirements...
1) I could put cones of thread anywhere as I wanted to keep like colors together
2) It was realativly cheap
3) I could hang it on the wall
4) I could store my bobbins with it
I went to Lowes and got one of the shelves that are white. Then I had a nice background for the thread and didn't need to do anything to make it look nice. I also found the longest (3.5") and skinniest nails that I could. This way I could put my bobbins under the thread on the nails.
I separated the nails by 3" and attempted to put them at a 70º angle. Who knew that protractor that I've been carrying around with me since high school would ever come in handy again? I'll admit, some of the nails are a little off, but I think it still looks fine. (Sorry about the lighting...it's in a poorly lit corner. I know that defeats the purpose a little bit, but in real life I can still see the beautiful colors pretty well.)
I still have several nails...I think that means I need more thread. :)