There are some cases:
If you've missed less than six Fardhs, then you must follow the order of these missed Fardhs. For example, if you've missed today's Dhuhr and Asr, and then came to Maghrib time, then you have to pray first Dhuhr, then Asr, and then Maghrib, which also means that you should follow the order even with the current Fardh, i.e, you should pray previous missed Fardhs and then pray the current Fardh. Also if you remember that you've missed a Fardh while praying the current (not after you finish it), then you continue your prayer, pray the missed ones, and then re-pray the current Fardh.
Evidence for the last idea (re-praying):
The Prophet (PBUH) said: "whoever misses salat due to sleeping to forgetfulness, and rememberes it just while he is praying behind Imam, let him continue his current prayer, and then do the one he remembered, and then redo (re-pray) the one he was praying behind Imam.
Sunan Al-Dark Qutni and Al-Baihaqi.
Evidence for the order of missed Fardhs:
The Prophet (PBUH) kept Fardhs order when he prayed missed Fardhs in the day of the battle of Khankdaq (خندق) when Mushrikeen kept him busy from doing four Fardhs and until a part of the night was passed. He asked Bilal to do Azan, and then he did Iqamah (إقامة) and prayed Dhuhr, then did Iqamah and prayed Asr, then did Iqamah and prayed Maghrib, then did Iqamah and prayed Ishaa'.
Musnad Ahmad Ibn Hanbal.
If you've missed six or more Fardhs, then you don't have to keep the order, because it might be very difficult to keep the order.
If you have so little time left of the time of the current Fardh, that you'll miss the current Fardh if you pray the missed Fardh(s), then you have to pray the current Fardh and then the missed Fardhs, because not missing the current Fardh is (obviously) higher in priority than doing missed ones. So do the current one, and then do the missed one(s).
If you forgot that you've missed a Fardh, and completed praying the current Fardh, and after that remembered the missed one. Then just do the missed one, you don't have to re-pray the current one (which you already did, but if you remember the missed one while praying the current one, then this is mentioned in the first case).
Source for all of the above: Islamic Fiqh (Book), part 1: Prayer rules, version 8, Pages 304-305. By Dr.Ibraheem Muhammad Salqini, professor in Damascus University - College of (Islamic) Shariaa. (The book is taught in the same college).
P.S: The translation is made by me, so sorry if there is some typos, I'll be happy if you edit to correct them.