This little snippet will consistently place sticky posts at the top of ALL post archive pages, not just the first page.

really-sticky-posts.php

<?php

add_filter( 'the_posts', 'mytheme_inject_sticky_posts', 10, 2 );

function mytheme_inject_sticky_posts( $posts, $q ){
	// Don't do this in the admin or on page 1, WP already does it for page 1
	if( is_admin() || $q->get( 'paged' ) <= 1 )
		return $posts;

	// get the sticky posts array
	$sticky_posts = get_option( 'sticky_posts' );

	if( ! $sticky_posts )
		return $posts;

	/**
	 * This condition could vary. In my case, this determined if we were viewing the blog archive.
	 */
	if( $q->get( 'pagename' ) == 'blog' ){
		
		// this chunk is pretty much straight out of WP_Query
		$num_posts = count( $posts );
		$sticky_offset = 0;

		$stickies = get_posts( array(
			'post__in' => $sticky_posts,
			'post_type' => 'post', // just in case we have other types of sticky posts
			'post_status' => 'publish',
			'nopaging' => true
		) );

		foreach ( $stickies as $sticky_post ) {
			array_splice( $posts, $sticky_offset, 0, array( $sticky_post ) );
			$sticky_offset++;
		}
	}

	return $posts;
}

add_filter( 'post_class', 'mytheme_add_sticky_class' );

/**
 * Be sure to add the sticky class to the post
 */
function mytheme_add_sticky_class( $classes ){
	$sticky_class = 'sticky';
	$sticky_posts = get_option( 'sticky_posts' );

	if( in_array( get_the_ID(), $sticky_posts ) ){
		if( ! in_array( $sticky_class, $classes ) ){
			$classes[] = $sticky_class;
		}
	}

	return $classes;
}