Playlist playing order in VLC media player
Select all, right click, select: sort by|name|ascending. The easiest way I have found.
It won't do it by default - what you need to do is drag them all in, and then select the first one in the playlist viewer.
Since I posted this 9 years ago things have changed - just unchecking the "random" box under playback will now work - looks like they fixed it around 2014.
OK, if you click on the "title" bar just right above the song names, it will automatically sort from then on.
However, it seems like it starts playing at the last played track number instead of starting at the first one. But at least it's in order now when I open it.