Alphabetizing your DVDs will save you a lot of time when you're looking for a movie to watch. It also gives each movie a "home", instead of just being shoved in to a cabinet (or shelf or basket) and creating movie chaos!
However, I do not alphabetize our kids' movies. They are stored in boxes with labels - one is for Disney & Pixar movies and the other is all the misc. kid movies like Baby Einstein, Veggie Tales, Elmo, Carebears, etc. You could totally alphabetize yours if you want, but we rotate through these often enough that I'm okay with "tossing" them in a box, as long as the box has a general category on it. That & my kids can't read yet anyway - ha!