From Microsoft: "The exact results of a UNION operation depend on the collation chosen during installation and the ORDER BY clause."

http://msdn.microsoft.com/en-us/library/ms191141(SQL.90).aspx

This is for SQL Server 2005. I'm assuming it applies to other versions as well. It appears that behind the scenes SQL Server does sort it as part of the duplicate elimination process. This will not be done with UNION ALL though.

For the record: An ORDER BY should be used as part of best practices.

Cheers,

Brian