You can use SMIL, an XML-based playlist format.  For example, create a file called foo.smil, and add the file (or network) locations of the items in the order you want them.
	
	
	
		Code:
	
	
		<smil>
  <body>
    <seq>
      <video src="file:///Users/imeowbot/movies/themovie/part1.mov"/>
      <video src="file:///Users/imeowbot/movies/themovie/part2.mov"/>
    </seq>
  </body>
</smil>
	 
 
Then, open foo.smil with QuickTime (a few different players understand this format).
There is also an audio tag that works the same way to string sound files together.
More on SMIL