@Lamuerte,
That's my number one gripe about the Droid and it can be fixed with a firmware update just like the Dare did. I even synced the Droid with Windows Media Player on the PC and it STILL arrives in alpha order. I don't think a separate media player will work because it will still play the songs as cataloged in the Droid... which is NOT in CD order.
I am sure it will be fixed as engineers have time to write the code and get it to us in an update. For the moment, though, we suffer with a bit of a musical issue.