In SQL 2005 the semantic queries generated by Report Builder do not support sorting. This is not a problem in the report itself, because all sorting is defined and implemented in the report definition instead of the query. However, for parameter dropdowns there is currently no solution: if the query doesn't sort the data, there's no way in RDL to define the sort you want. As a result, the values in your parameter dropdowns will sometimes be scrambled.
If you are interested, the attached C# project contains an updated version of the custom data processing extension I shared in a previous post for enforcing query timeouts, This version adds the ability to recognize lookup queries generated by Report Builder (e.g. those generated for parameter dropdowns), and append an appropriate ORDER BY clause to get the data back in the right order. Since the order of the result data is not defined in this release, it should not break anything, and since it uses a very strict Regex to recognize the lookup queries, it should not affect performance of any other queries. This implementation will sort dropdown items in exactly the same order as they appear in the Filter dialog in Report Builder, whether they are attribute values or entity instances (including the use of an entity's SortAttributes if defined).
To try out the sample, download the attached ZIP file and follow the same instructions as before, Please note that, as I mentioned before, this approach exercises an unsupported feature, so if you run into problems and ask MS Support for help, they will tell you to go jump in a lake. :)