How do I order by parent then child?

for mysql, you can try: (with the condition your Child's ParentID is your ParentID's FeatureID)

SELECT FeatureID, ParentID, Feature
FROM Features
ORDER BY case when ParentID=0 then FeatureID else ParentID end * 1000 + FeatureID ASC

From your comment, if you know there are only two levels, there is an easy solution:

select  *
from    @Features feat
order by
        case 
        when ParentID = 0 
        then Feature 
        else    (
                select  Feature 
                from    @Features parent 
                where   parent.FeatureID = feat.ParentID
                ) 
        end
,       case when ParentID = 0 then 1 end desc
,       Feature

1. Sort by the name of the root element: for the root, this is Feature column. For the children, look up the root's name with a subquery.
2. Sort the root on top
3. Sort the children by name

Example at SE Data.