Few days ago I uploaded a new plugin at WordPress.org repo. It is called AZ-Order and allows you to display your posts in alphabetical order with a simple shortcode [azsampcode] (I will change this shortcode to [azorder] in the next version) There is also a plugin settings page where you can specify custom post type which you want to display. As I explained in the plugin’s description you must be sure that your database is using the right collation for your language, otherwise there is a chance for errors and wrong letters order.
Below is posted a screenshot of example how it is working on my personal blog, you can see that the latin and cyrillic alphabets are ordered one after other in that case.
Here is a link to AZ-Order plugin in WordPress.org: http://wordpress.org/extend/plugins/az-order/
Hope that this can be useful for some of you!
Please let me know if you have an idea for new features that I can add. For now I am planning to create settings option for user to choose a category or tag and also some css to display the letter menu more accurate.