When you drag multiple files from a folder into an iTunes playlist, iTunes usually doesn't keep them in the proper order. I've found that if you just drag the folder itself into the playlist, it does keep them in the correct order. I usually delete any non-music files from the folder before I import.
[kirkmc adds: It's true that iTunes doesn't keep individual tracks in order when you add them by dragging, unless your playlist is sorted by album and the tracks are tagged with the appropriate track numbers. Also, you don't need to worry about removing non-music files, unless the folder contains videos (in formats that iTunes understands) or PDFs; iTunes simply ignores these other files.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20070928083712305