Although it's not possible to set the lists of tasks within projects to automatically sort themselves by name, you can do so manually by clicking on the gear icon at the top of the list and choosing "Sort by name".
My fault - I said Task and should have said projects. Is there a way to sort my projects by name.
Unfortunately, that's not possible, but you can reorder your projects one-by-one manually. To change the position of a project, simply hover over it and you'll see a small handle icon on the left side of it. Grab it by the handle and drag & drop it into a different position.
This would also be the easiest way for me to pick out projects I'm working on to add tasks. Can we add this as a suggestion somewhere somehow? Hunting for the right project is costing me a surprising amount of time.
You're welcome to add a feature request with your suggestion to our Votebox: http://todoist.com/Vote/