Our free video plugin for WordPress FV Flowplayer supports video playlist, but we realized we haven't covered it in our documentation.
Looking for video lightbox overlay? We have that feature coming (currently in beta stage) and it works with multiple items (both images and videos)!
Step by step guide
Enable playlist interface - check Settings -> FV WordPress Flowplayer -> Post Interface Options and make sure Playlists are enabled
If you turn off this option, all the playlists will still work, you won't see them in the video shortcode editor interface though.
Add your items - just click "Add Playlist item":
Notice that the playlist items don't have "Add video" nor "Add Image" buttons. You can simply drag and drop the new playlist item to the top of the dialog and that makes the buttons appear. You can reorder the playlist items the same way as well.
For best results (Flash player) if all your videos should have the same aspect ratio or be provided in both MP4 and WebM formats.
Order your items, add additional formats
The resulting shortcode looks like:
[fvplayer src='http://videos.my-site.com/2-basics.mp4' src1='http://videos.my-site.com/2-basics.webm' width=640 height=360 splash='http://videos.my-site.com/2-basics.jpg' playlist="http://videos.my-site.com/1-introduction.mp4,http://videos.my-site.com/1-introduction.webm,http://videos.my-site.com/1-introduction.jpg"]
...which is not so easy to read if the file names are longer. Just put your cursor into the shortcode, hit the FV Flowplayer button above the editor again and it gets loaded into the dialog again. So editing the playlist is easy.