When I used a GOM player (http://www.gomlab.com),
when you click on movie - it makes automatic playlist of all video files in a folder that you watch current movie,
and when it finishes player start to play next until last file in a folder.

List of files is sorting by alphabet,
so it's very usefull when you watch TV series,
for ex. House M.D. - you don't need to make a playlist or if you forgot to do this - get up to computer and press "next" button.