wpquestions.com, ID = 3573

<?php

// set vars
$post_type = 'testimonials';
$taxonomy = 'products';

// get all products (respective terms form "product" taxonomy)
$products = get_terms( $taxonomy, array() );

if ( $products ) {

    // start buildind output
    $r = '';

    foreach ( $products as $product ) {

        // get posts
        query_posts( array(
            'tax_query' => array(
                array(
                    'taxonomy' => $taxonomy,
                    'field' => 'id',
                    'terms' => $product->term_id
                )
            ),
            'post_type' => $post_type,
            'posts_per_page' => 5
            )
        );

        // if there are any posts
        if ( have_posts() ) {

            // product name
            $r .= '<h2>Latest Testimonials for ' . $product->name . '</h2>';

            // the loop
            while( have_posts() ) { the_post();

                $r .= apply_filters( 'the_content', get_the_content() );

            }

        // no posts found
        } else {

            $r .= '<h2>No Testimonials for ' . $product->name . ' Product</h2>';

        }

        // reset query
        wp_reset_query();

    }

    // print out the resulting markup
    echo $r;

}