Thanks to Orion and Tina for their replies - for some reason I'm not getting 
these delivered to me so only saw them when I checked back to the list on 
the web interface!

--[XHTML2 corrects this by allowing lists inside paragraphs. In earlier 
versions either of the solutions you just listed would be alright.]--

OK, fine, good.

--[Two paragraphs with an ordered list inbetween. Most definitions of a 
paragraph I've ever heard of does not include ordered lists.  In XHTML 2, it 
has been suggested that paragraphs can contain ... many things which are not 
usually considered paragraphs. It is my hope that this will be corrected 
soon.]--

I'm afraid I disagree with you there.  I think the idea should be to let the 
markup reflect "semantically nested" things.  So in my example, I 
interrupted a sentence (and a paragraph) in order to break out into a list. 
But the list was _part of_ the paragraph, I could equally well have written 
it inline: one, two, three; like that.  As far as layout is concerned, you 
are right, it would normally be layed out as two paragraphs with a list 
between, but my impression was that XHTML was supposed to reflect intention 
and not formatting.

In fact, even considering layout, it's probably better to allow the <ol> to 
be nested inside <p>.  Imagine you had a paragraph style that was heavily 
left-indented and perhaps in a different font.  You would want any lists 
within such paragraphs to inherit that style as well, otherwise they would 
stick out into the left "margin".

    -Stephen