Little usability issue with iTunes:

you may think the first column, with index numbers, is the track number. Noooo - it's just an arbitrary number assigned to the tracks, no matter WHAT actual order they are in - alphabetical, date, track number, etc. If you don't have the column for Track No. enabled, you may not even realize it exists. Right click on any column name in the playlist, and you will see a list of all possible columns. Make sure Track Number is checked. Then select that column and make sure that the little arrow for it is pointing UP (small end up!). Then burn the CD.

Thanks to "D.R. Mac fan" on MacOSXHints forums for this.