Sort your NZB files alphabetically before downloading them. This will allow you to stream/uncompress the files in the right order and possibly pipe the output to a media player.
This tool was designed to be simple and work with stdin/stdout. Here are a few examples, all doing the same thing:
$ nzbsort < original.nzb > output.nzb $ nzbsort original.nzb > output.nzb $ cat original.nzb | nzbsort > output.nzb
The output XML is ugly but hey, it's XML, news reader don't give a shit.