I have this issue as well. I'm using an iPhone 4 with iOS 5.1.1 (latest to date).
Tap 'Settings', and then 'Notifications', and then 'Edit', I can rearrange the items appearing in Notification Centre.
However, after rearranging those items and going back to the main Settings page, when I tap 'Notifications' again to view the changes I made, I find the order stays the same as it was before.
Rearranging the items several times / After rearranging, tapping that specific item and going back one page seems to solve the problem.