Here's a solution that merges in place without any sorting: https://gist.github.com/Mononofu/5029975

The basic idea is to use the (unused) beginning of array b as swap space for the beginning of array a. This swap space needs to be shifted around, so it's of course O(n^2). Still, it was fun to write.

If you have termcolor installed ('sudo easy_install termcolor' on ubuntu), you'll see the arrays a and b as well as the swap space highlighted in color for each step. Example: http://dl.dropbox.com/u/2135523/2013022517.png