iPhones with firmware 1.1.3 or previous versions may show SMS messages of the same chat in a wrong order. Upgrading the iPhone to firmware 1.1.4 (via iTunes) fixes the problem. Note that iTunes automatically backs up your data before the update and restores it afterwards, so no data (SMS, call list, contacts, music, videos etc.) is lost in the process.

Attention: if you're using an unlocked iPhone, the firmware update will re-lock it. You'll  need to unlock it again after the firmware update.