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