Greek: Alphabetical Order - Parade of the Nations in Athens

That's the greek alphabet:

The order of appearance of the national teams followed the Greek alphabet applied to the Greek names of the countries.
Thus among the first were San Marino because in Greek it is Agios (alpha-gamma-iota-omikron-sigma) Marínos (mu-alpha-rho-iota-nu-omikron-sigma).
Monaco appeared just before Bangladesh because in Greek their names are:
Monakó (mu-omikron-nu-alpha-kappa-omikron);
Mpangklantés (read Bangladés: mu-pi-alpha-nu-gamma-kappa-lamda-alpha-nu-tau-epsilon-sigma).
Honk Kong appeared at the end, just before Greece (at the end because the country hosts the Olympics, not because of the Greek alphabet, but you already know that) because in Greek it is written:
Chongk Kongk (read Hong Kong: chi-omikron-nu-gamma-kappa / kappa-omikron-nu-gamma-kappa).
No country name starts with psi and omega can never be found at the beginnig of a word.

Have a look at this web page. Greek names are written with the Greek alphabet but Thok's post can help you.

You can find the alphabetical country list on the Olympics website (pdf file):

http://www.athens2004.com/Files/pdf/NOC_marching_order.pdf

Thanks to all of you. They are all very helpful. I wish I had discovered the pdf file sooner though.

I hope that the Chinese won't use the "Chinese Name" order for their 2008 Olympic. It would be a bigger mess because most country names in Chinese are phonetic approximations since they don't use alphabets. Furthermore, there are at least five or six different ways to sort Chinese characters. There's no such thing as the first charater or "alphabetization."

douglashuang - great question. I really liked seeing the countries 'out of order' - reminded me not to get too complacent about how things 'have to be' the way I'm used to them.

It was a great reminder to keep on thinking!