Using the previous posted order since it is correct in that it prepares the paint for each step...

Wash - self explanatory (gets rid "loose" dirt/blemishes)
Clay - removes deeply embedded dirt/some blemishes
Polish - a very mild abrasive deep-cleaner by removing oxidation/blemishes/mild swirls/water spots
Glaze - adds a layer that contributes to better shine/reflectivity
Sealant (synthetic wax) - adds a final, durable layer to seal all that work and present a great shine
[Natural] Wax (ie. carnauba wax) - adds a final layer to seal all that work and present a great, deeper shine*

* - usually best achieved with the use of carnauba based waxes

For further information on car detailing at a "pro-level," you might want to check out www.autopia.org. They're detailing nuts!