Once upon a time the English alphabet made use of a non-Roman character called thorn (capital Þ small þ) for "th." You can see remnants of it today in the archaic "ye" for "the." There are still languages today, such as Icelandic, which use the letter þorn.
Ran across a cool page out there which presents exhaustive (and exhausting) arguments for the proper way to alphabetize words which include þ. Lots of charts of ancient alphabets, tabulation of various ways thorn is alphabetized today and has been alphabetized down through the centuries, all leading to the conclusion (presented almost in the spirit of a mathematical proof) that the proper thing to do with Þorn is to treat it as a letter following Z.
"7.0 Afterword. On Þornsday,
Fascinating site, to those such as myself who are interested in languages and writing systems. I notice the front page is written in English and Irish Gaelic. Article on "The Alphabets of Europe." "Analysis of Olmec Hieroglyphs." Info on Eachtraí Eilíse i dTír na nIontas, alias Alice's Adventures in Wonderland in Irish; The New Testament in Cornish; The Hobbit in Irish, forthcoming; A Breton Grammar; and all other sorts of cool things.