I do sort mine alphabetically, with minor exceptions. I do drop "A" and "The" from the title, and sequels that are subtitled are put in chronological order.
E.G. - Prince of Persia: The Sands of Time, Prince of Persia: Warrior Within, and Prince of Persia: The Two Thrones are filed exactly that way, though alphabetically "Warrior Within" should be last.
This does not count if the sequel has a different name, such as "Zelda II: The Adventure of Link". The name is not "The Legend of Zelda II", therefore it gets filed under Z.