Apple have admitted that the recent 1.1.3 update for the iPhone introduced a problem with the ordering of incoming SMS messages, although they have stopped short of actually calling it a bug.

The problem doesn't seem to affect everyone, but Apple have posted an explanation on their support site, along with a potential fix...

Issue or symptom

When sending or receiving text messages on the iPhone, the SMS messages may be displayed out of sequence.

Solution

This can occur if the iPhone is not displaying the same date and time setting as the carrier network time.

Make sure iPhone is setup to receive the network time. Choose General > Date & Time and turn Set Automatically to ON. (Note that in some locations, network time may not be available and in some cases, you may not see this option).

More at the Apple Support Site