There are sorting algorithms that run faster than O(n lg n) time but they require special assumptions about the input sequence to be sort. Examples of sorting algorithms that run in linear time are counting sort, radix sort and bucket sort. Counting sort and radix sort assume that the input consists of integers in a small range. Whereas, bucket sort assumes that the input is generated by a random process that distributes elements uniformly over the interval.
Since we already know that the best comparison-based sorting can to is Ω(n lg n). It is not difficult to figure out that linear-time sorting algorithms use operations other than comparisons to determine the sorted order.
Despite of linear time usually these algorithms are not very desirable from practical point of view. Firstly, the efficiency of linear-time algorithms depend on the keys randomly ordered. If this condition is not satisfied, the result is the degrading in performance. Secondly, these algorithms require extra space proportional to the size of the array being sorted, so if we are dealing with large file, extra array becomes a real liability. Thirdly, the "inner-loop" of these algorithms contain quite a few instructions, so even though they are linear, they would not be as faster than quick sort (say).