I have the same frustration and can't understand why none of the eBook readers seem to have catered for this - I use Stanza on the iPhone.
I also use Calibre which is brilliant. Unfortunately, there doesn't seem to be a way to transfer the series information to the iPhone.
I don't personally like adding a series number to the book title, but have had to resort to this in the absence of any other apparent solution. The problem with this workaround is that you can only download one series at a time (to the eBook reader) otherwise the series/titles get mixed up. Including the series title in the title makes it too long and unmanageable on a device like the iPhone where (e.g.) Stanza has difficulty displaying long titles anyway.
Someone please come up with a solution..................