Cathe's Body Blast series (KP&C, Legs & Glutes, SJ&P, Step Blast, Push/Pull, and Supersets) lets you do that. Those DVDs have a feature called 'Workout Blender' which lets you select up to six chapters that you can play in any order. I believe High Step Training Advanced may also have this feature, but don't quote me on that. For some reason, my DVD player doesn't always work with this feature so I never use it - I find the mix and match feature works as good if not better because with the mix and match menu you can select as many chapters as you want.
As for programming a DVD to play in the order you want without having to go to a menu in between chapter points, lots of DVDs have a 'programming' feature on their remotes. I tried this once but was so time consuming and tedious that I gave up. Because so many of Cathe's DVDs feature the mix and match menu and/or premixes, I find I get a decent mix that way.