I hate to disagree with chscag, but he's entirely wrong on this one IMO. The problem doesn't stem from iPhoto or Picasa -- it's simple user error.
Izweifel, you're simply getting ahead of yourself. When you create the slideshow, the pictures will be put into the order you want them by you, and will remain that way. It's not even important how they are arranged into albums or events (though you can easily re-arrange them as you like).
I find that the best way to create a slideshow is to a) pull photos from events into a specially-created album. Albums are sorted any way you want.
Once the album is in order, make the slideshow from it. Voila, look, there they are in the order you put them in in the album.
(I will never understand why people have a problem with events -- as though chronological order was somehow a bad idea ... when you don't desire chronological order for any number of perfectly valid reasons, make an album. Simplicity itself.)