I follow the GTD methodology and create a list for each of the projects I need to work on. When I create multiple tasks in a list, there is usually an order/sequence in which it can/should be done, but RTM shows tasks in alphabetical order. To counter this I prefix my tasks with numbers.

The task that should be done first becomes "1) first task". Next, "2) second task" and so on. This makes RTM sort it correctly and I know at a glance which task to tackle first!