How to set screenshot name to be named correctly so it will be sortable

Screenshots use the Medium time format you specify in System Preferences » Language & Text » Times (with colons replaced by periods as they're invalid in file names). Click Customize… and enter a sane value there, and you're good.

IN Sys Prefs / Language & Region, set the Time Format to 24 hour clock and the Snapshot names will use 24 hr format, without AM or PM. They will then sort correctly.

Update for those of us with newer macbooks:

1. System Preferences > Language & Region > Advanced > Times
2. In the Medium format, change the hour to 00-23 and delete the AM