I'm assuming your shuffle is 4th gen (current model).
That first (leftmost) column, with no header and sequential numbers below, is the one you should have selected as the sort order (header highlighted). And make sure the small triangle "toggle" there is pointing UP. That should show the list in playlist order, from first item to last item.
I have my ipod shuffle set to manage music manually and not to automatically sync when connected.
If you are using the Manually manage music option, you need to create the playlist (using iTunes) on the shuffle, not in your iTunes library. To do this, it is easiest with the iTunes sidebar visible, so if it is currently hidden, from the iTunes menu bar, under View, select Show Sidebar.
In the sidebar, find the shuffle under DEVICES and select it. Click the small triangle to the left of the shuffle, to toggle down the iPod's content list. With the iPod selected, at the bottom of the sidebar, click on the plus sign and select New Playlist. A new playlist appears on the iPod's content list (indented under the iPod).
Load your playlist there. If you have an existing iTunes playlist, you can do a Select All on that playlist, and drag all the songs to the iPod's playlist. Make sure you drag the songs to the playlist indented under the iPod, and not to the "overall" iPod. Once your songs are there, select the playlist and make the playlist order as desired.
On the iPod (when you are using it), make sure you have the shuffle's power switch set to the play-in-order (middle) position. AND make sure you are playing the songs from the playlist, not the default All Songs list. Even if you only have one playlist on the shuffle, the All Songs list is not the playlist. If you play songs from the All Songs list "in order," they play alphabetically.
To select the playlist, use VoiceOver. This document has information about VoiceOver.
This is an issue I am having and I find both the iPod shuffle and iTunes very unintuitive to try to fix it.
As far as Kenichi Watanabe's reply, these are somewhat confusing directions. Could you please clarify where you are finding these options? For example, where can one get to this setting to begin with: "make sure you have the shuffle's power switch set to the play-in-order (middle) position" ? i.e., could you provide instructions on how to navigate so that this option appears on the iPod?
Also, where are you looking to find this:
"That first (leftmost) column, with no header and sequential numbers below, is the one you should have selected as the sort order (header highlighted). And make sure the small triangle "toggle" there is pointing UP. That should show the list in playlist order, from first item to last item." ?
Anyone has a link to better answers?
... could you provide instructions on how to navigate so that this option appears on the iPod?
The directions would not be confusing for someone with an iPod shuffle. The shuffle has no screen, so it does not appear "on the shuffle." It has a power switch with three positions. The "middle" position is ON in play-in-order mode. If your iPod is NOT a shuffle, please clarify your iPod model.
Also, where are you looking to find this...
The original poster was referring to playlists, and the columns on playlists. That's were my response begins. To understand my response, first select a playlist in iTunes, so that the list of songs (or other items) is shown. Show the list as a plain list, with columns for Name, Track #, Artist, Album, etc. If you want to manually change the playlist's order, in the heading row, click the heading for the "leftmost" column. This column heading has no title, and below, each song is numbered sequentially. With this column selected, you can change the order of songs on the playlist (by dragging songs). NOTE: If any other heading is selected, it sorts by that column (such as by Name), and you cannot change the order of songs.
When you sync this playlist to the iPod, it plays in this list order (that you see in iTunes) when the iPod is set to play-in-order. Please post back for any further clarification, with additional information for YOUR particular situation and question.