BibTeX has a sorting function, and most BibTeX styles sort the citation list they produce; most people find this desirable.
However, it is perfectly possible to write a
thebibliography environment that looks as if it
came from BibTeX, and many people do so (in order to save time in
the short term).
The problem arises when thebibliography-writers decide
their citations need to be sorted. A common misapprehension is to
insert \bibliographystyle{alpha} (or similar) and expect
the typeset output to be sorted in some magical way. BibTeX
doesn't work that way! - if you write thebibliography,
you get to sort its contents. BibTeX will only sort the contents
of a thebibliography environment when it creates it, to
be inserted from a .bbl file by a \bibliography command.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=sortbib