How can I control the order of Drupal.behaviors?
The JavaScript code used by Drupal 7 is the following:

Drupal.attachBehaviors = function (context, settings) {
  context = context || document;
  settings = settings || Drupal.settings;
  // Execute all of them.
  $.each(Drupal.behaviors, function () {
    if ($.isFunction(this.attach)) {
      this.attach(context, settings);
    }
  });
};


Drupal 6 uses similar code:

Drupal.attachBehaviors = function(context) {
  context = context || document;
  if (Drupal.jsEnabled) {
    // Execute all of them.
    jQuery.each(Drupal.behaviors, function() {
      this(context);
    });
  }
};


If JavaScript would guarantee that object/array properties are always traversed in the same order they are added, then the values would be passed from jQuery.each() to the function used as its second parameter in the same order they are inserted in the array passed as first parameter.
This would mean that the first behavior inserted in Drupal.behaviorsis executed first.
In this case, to allow the behaviors defined by your module to be executed first you could use a lighter weight for it. If you want they are executed before the other ones, the module weight should be set to -50; other values can work too.
If you are using Drupal 7, drupal_add_js() allows to associate a weight to the JavaScript code; JavaScript code with a lighter weight appears first in the HTML output. This is not possible with Drupal 6, thought.

JavaScript doesn't guarantee that properties are traversed in the same order they are added. This means that different JavaScript implementations would present the same properties using a different order; it also means that the same order could change in different versions of the same browser.