Actually I had the same problem some years ago and redefined the tabular line commands. I have not uploaded to ctan and I am not sure I consider it a finalized work. Still, I think it works. To try, save the following as shtabularlines.sty.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%% Defines thick lines for use in tabular environments
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\NeedsTeXFormat{LaTeX2e}
\ProvidesPackage{shtabularlines}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%% Add an optional parameter for the line width to the command \hline,
%% \vline, and \cline:
%%
%% \shhline[width]
%% \shvline[width]
%% \shcline[width]{c1-c2}
%% \shclinespace[width]
%%
%% The default width is the same as standard lines. This is set by the
%% parameter \sharrayrulewidth. Reset with \renewcommand
%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\def\sharrayrulewidth{\arrayrulewidth}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%% \hline
\def\shhline{\noalign{\ifnum0=`}\fi%
\@ifnextchar[{\sh@hline}{\sh@hline[\sharrayrulewidth]}}
\def\sh@hline[#1]{\hrule height #1 \futurelet\reserved@a\@xhline}
%% \vline
\def\shvline{%
\@ifnextchar[{\sh@vline}{\sh@vline[\sharrayrulewidth]}}
\def\sh@vline[#1]{\vrule \@width #1}
%% \clinespace
\def\shclinespace{\omit%
\@ifnextchar[{\sh@clinespace}{\sh@clinespace[\sharrayrulewidth]}}
\def\sh@clinespace[#1]{%
\cr
\hbox{\vrule height \arraystretch #1 width 0pt}
}
%% \cline
\def\shcline{\omit%
\@ifnextchar[{\sh@cline}{\sh@cline[\sharrayrulewidth]}}
\def\sh@cline[#1]#2{\sh@@cline[#1]#2\@nil}
\def\sh@@cline[#1]#2-#3\@nil{%
\@multicnt#2%
\advance\@multispan\m@ne
\ifnum\@multicnt=\@ne\@firstofone{&\omit}\fi
\@multicnt#3%
\advance\@multicnt-#2%
\advance\@multispan\@ne
\leaders\hrule\@height#1\hfill
\cr
\noalign{\vskip -#1}
}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\endinput
Then you can use it according to the (brief) manual below. If the quality is too poor you can get a better at shtabularlines.pdf.

As you can see my version of \cline has a problem since it does not set the space for the extra width. This is compensated by hand by \shclinespace.
So the following tabular environment gives the table below:
\renewcommand\sharrayrulewidth{1.5pt}
\begin{tabular}{|c|c|c|c!{\shvline}c|c|}\hline
\multicolumn{2}{|c|}{Foo} & \multicolumn{4}{c|}{Bar} \\ \hline
\multicolumn{2}{|c|}{} & \multicolumn{2}{c!{\shvline}}{BarA} & \multicolumn{2}{c|}{BarB} \\ \hline
\multicolumn{2}{|c|}{} & $\lambda$ & $\theta$ & $\lambda$ & $\theta$ \\ \hline
\multirow{2}{*}{FooA} & $\mu$ & 2 & 3 & 8 & 9\\ \shcline{2-6}\shclinespace[\sharrayrulewidth]
& $\pi$ & 5 & 6 & 7 & 9 \\ \hline
\multirow{2}{*}{FooB} & $\mu$ & 2 & 3 & 8 & 9 \\ \shcline{2-6}\shclinespace[\sharrayrulewidth]
& $\pi$ & 5 & 6 & 7&10 \\\hline
\end{tabular}
