I just did this:
http://en.wikipedia.org/wiki/Bubble_sort but it's not so fast... I thought that WME can do this for me much faster.
Well, even if WME supported array sorting, it would use one of the well-known algorithms. The issue, as 2.0 correctly said, is that WME supports an array to have multiple data types. Therefore, WME would not be able to guarantee that an array you command it to sort will indeed be sorted. I guess this is one reason why Mnemonic chose to not implement array sorting. So, you should be careful to store elements of the same data type in your array.
How big will your array be? Will it have tens of elements, thousands, millions? If we are talking about tens or hundreds of elements, a bubble sort algorithm will take a very small amount of time to sort the array. If you have thousands or millions of elements in the array, then you should consider other algorithms.