Update: After I wrote the answer below, @Nabb showed me why it was incorrect. For more information, see Wikipedia's brief entry on Õ, and the links therefrom. At least because it is still needed to lend context to @Nabb's and @Blueshift's comments, and because the whole discussion remains interesting, my original answer is retained, as follows.
ORIGINAL ANSWER (INCORRECT)
Let me offer an unconventional answer: though there is indeed a difference between O(n*n) and O(n), there is no difference between O(n) and O(n*log(n)).
Now, of course, we all know that what I just said is wrong, don't we? After all, various authors concur that O(n) and O(n*log(n)) differ.
Except that they don't differ.
So radical-seeming a position naturally demands justification, so consider the following, then make up your own mind.
Mathematically, essentially, the order m of a function f(z) is such that f(z)/(z^(m+epsilon)) converges while f(z)/(z^(m-epsilon)) diverges for z of large magnitude and real, positive epsilon of arbitrarily small magnitude. The z can be real or complex, though as we said epsilon must be real. With this understanding, apply L'Hospital's rule to a function of O(n*log(n)) to see that it does not differ in order from a function of O(n).
I would contend that the accepted computer-science literature at the present time is slightly mistaken on this point. This literature will eventually refine its position in the matter, but it hasn't done, yet.
Now, I do not expect you to agree with me today. This, after all, is merely an answer on Stackoverflow -- and what is that compared to an edited, formally peer-reviewed, published computer-science book -- not to mention a shelffull of such books? You should not agree with me today, only take what I have written under advisement, mull it over in your mind these coming weeks, consult one or two of the aforementioned computer-science books that take the other position, and make up your own mind.
Incidentally, a counterintuitive implication of this answer's position is that one can access a balanced binary tree in O(1) time. Again, we all know that that's false, right? It's supposed to be O(log(n)). But remember: the O() notation was never meant to give a precise measure of computational demands. Unless n is very large, other factors can be more important than a function's order. But, even for n = 1 million, log(n) is only 20, compared, say, to sqrt(n), which is 1000. And I could go on in this vein.
Anyway, give it some thought. Even if, eventually, you decide that you disagree with me, you may find the position interesting nonetheless. For my part, I am not sure how useful the O() notation really is when it comes to O(log something).
@Blueshift asks some interesting questions and raises some valid points in the comments below. I recommend that you read his words. I don't really have a lot to add to what he has to say, except to observe that, because few programmers have (or need) a solid grounding in the mathematical theory of the complex variable, the O(log(n)) notation has misled probably, literally hundreds of thousands of programmers to believe that they were achieving mostly illusory gains in computational efficiency. Seldom in practice does reducing O(n*log(n)) to O(n) really buy you what you might think that it buys you, unless you have a clear mental image of how incredibly slow a function the logarithm truly is -- whereas reducing O(n) even to O(sqrt(n)) can buy you a lot. A mathematician would have told the computer scientist this decades ago, but the computer scientist wasn't listening, was in a hurry, or didn't understand the point. And that's all right. I don't mind. There are lots and lots of points on other subjects I don't understand, even when the points are carefully explained to me. But this is a point I believe that I do happen to understand. Fundamentally, it is a mathematical point not a computer point, and it is a point on which I happen to side with Lebedev and the mathematicians rather than with Knuth and the computer scientists. This is all.