Do can lights have to be wired in order?
You can wire them in any sequence.  Do it in whatever way is the most convenient.  The electricity doesn't care, and doesn't know the physical location of the fixtures.  

Household wiring is parallel, so there isn't really a sequence.  Each fixture just needs to be fed power by some path from the breaker box.  When you route the wire from fixture to fixture, the power isn't really going through one fixture to get to the next.  Rather the wiring provides a shared electrical path from the breaker, and each fixture taps its own power from it. [1]



[1] Note: This applies to basic wiring, such as standard light fixtures and outlets, as asked about in the question.  There are other situations that are a little more complicated.  For example, in wiring GFCI outlets, sequence is important.  And there are other special cases, such as Sean Boddy mentions in a comment.