Fortunately, this is easy to teach and there are many, many books out there that lend themselves to this kind of activity very well.
Here's a very short list:
The Lady With the Alligator Purse, by Nadine Bernard Westcott
There Was an Old Lady Who Swallowed a Fly (or a Shell, or a Bat, or any of the bazillion variations on this traditional tale), by VariousGood Night Gorilla, by Peggy Rathman
Rabbit's Pajama Party, by Stuart Murphy
Alexander and the Terrible, Horrible, No Good, Very Bad Day, by Judith Viorst
Manana, Iguana, by Ann Whitford PaulThe Tiny Seed/The Very Lonely Firefly/The Very Quiet Cricket, by Eric Carle
Really almost any book can be used to teach this skill, but when you're dealing with preschoolers it's best to keep things simple. Here's the activity in a nutshell: Read the book, talk about what happened first, what happened in the middle, what happened last or at the end. Boom -- done.How come none of this looks like chicken nuggets?
For older children, recipes are a good way to practice sequencing. Have your reading child read a recipe as you both prepare it OR find a favorite dish and let your child write out the steps as you cook it. Any activity that has to occur in steps can be good practice for sequencing -- just talking through the steps.
It takes all of about 2 minutes to talk through a story and point out the order of events. Give this one a try next time you read to your little ones.