I've been playing with Ruby on Rails by seeing how easy (or difficult) it would be for me to re-write an existing mod_perl2 application within RoR. While the original application uses PostgreSQL as its backend database (numerous reasons but the top few are: timestamptz, multiple columns in a table that can default to now(), support for transactions - even nested ones), I decided to use sqlite3 for the initial prototype of the application before it grew beyond 2-3 models.
It seems that either sqlite3 or RoR 2.0.5 doesn't support multi-column indices on a table. One of those two converts a single two-column index into 2 one-column indices - not quite the behavior I wanted. I'll try to switch to PostgreSQL to see if the behavior re-surfaces.
While I was scouring Google for sqlite3's limitations, however, I came across this interesting article that details the kind of scientific analysis that should be conducted on your data to determine the order of columns in a multi-column index. Very informative.