Cornelius Fichtner, PMP Jan 09
After you download the episodes with iTunes and then synchronize them to your iPod/iPhone, you will notice that they are either ordered backwards from Z-A or that they are randomly ordered.
This is quite normal for iTunes/iPod/iPhone abd there is unfortunately nothing that we can do... we consider this to be a "feature"...
Here is a partial solution for this problem:
However, iTunes playlists will NOT play the video. They only play audio. Apple calls this a "battery saving feature" for your iPod and iPhone. Creating a playlist can be helpful if you are just interested in listening to the audio (for when you are driving a car) and you don't want to watch the video. If you want to watch the video as well, then there is unfortunately no way to change the order.

Good news! Using this approach, if you have a later generation iPod (not sure beginning when), from your main iPod menu, under Videos | Video playlists, when you select the title of your Smart Playlist (as you named it according to the instructions above), the videos will be in episode order.