You can select what order your tracks are played, but only through an iTunes playlist.
From http://www.apple.com/uk/ipodshuffle/
If you prefer cycling to a hip-hop soundtrack and snowboarding to a little electronica, Autofill iPod shuffle from a specific iTunes Playlist and roll. Download an album from the iTunes Music Store and listen to it in order before you Shuffle it into your collection. Or just drag and drop individual songs from iTunes onto iPod shuffle. With Play in Order mode, you manage the music. If things take a turn for the predictable, never fear. Turn iPod shuffle over, flip the slider to Shuffle and mix on the go.
can hardly call complete randomness a downside from something called an ipod shuffle can you? if you don't want them shuffled, buy a non-shuffled ipod!