And note it doesn't work on the PW2 with anything but the earliest firmware, or the KV or KT2 at all.
Of course, the best option would be Calibre Companion, an Android app for Android devices

which can handle any arbitrary metadata and tagging (including hierarchical tag paths) that you can make in calibre. That would be because a sometimes calibre developer made it.
If you really want hierarchical collections, but don't need to file books in multiple collections, you can use KOReader for touch-enabled Kindles, or its non-touch predecessor
KindlePDFViewer (now supports far more than just PDF).
It comes with a file browser for browsing
regular file structures. So you would simply use a calibre template to put things in collections folders. Also requires converting to EPUB and stuff.
Kobos can also run KOReader, and a number of small-manufacturer ereaders also use file/folder browsers to open books.
But I do think the Kindle Collections method is the coolest, and integrates well with other features like cover view:
- on my Kindle Touch.

- The Kindle PW1 should also work beautifully,
- and maybe even the PW2 -- if you get one that isn't yet on fw5.6.x and can thus be jailbroken, and you don't mind doing scary low-level things to return to fw5.4.0.
