The "Location" item in the Apple menu lists Network Preferences in case-independent lexigraphical order. In other words, according to the order the characters appear in the ASCII table except that it doesn't distinguish between upper and lower case letters. Use numbers or punctuation as the first character in Location names to control the order of the items in the menu.
For instance, I use Airport and Offline most often. By using "0"(zero) instead of "O" as the first character in Offline, I have 0ffline and Airport as the first two items in the Location menu. Otherwise, Offline, inconveniently, appears several items down the list of network connetions.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020107190130662