I've mocked up some screenshots to illustrate how this might work.
In the main list you have alphabetic indicators showing you where you are:
- artist-list.png (18.28 KiB) Viewed 1492 times
If you then click one of these index letters you get an alphabet list
- alpha-index.png (12.39 KiB) Viewed 1492 times
Clicking any of the letters takes you to that grouping on the artist/album list. An enhancement to this would be to dim letters where you have no entry.
This method works well on Windows Phone and could enhance the artists and album lists in Rune.