The solution that works but isn't very elegant is to 'get info' on a track or album. Type in what ever genres you want to call it (you can use the genre field but it will also create a new genre called 'alternative, progressive, klezmer') or do as Kevio suggests and fill the comments field.

Then use smart lists to cull through them. A smart list pulling all genres with progressive will pull it up out of 'alternative, progressive, klezmer'