JavaDocs - ваш лучший друг.Это зависит от реализации.Например:
java.util.Set:
Iterator<E> iterator();
Returns an iterator over the elements in this set. The elements are returned in no particular order (unless this set is an instance of some class that provides a guarantee).
и
java.util.TreeSet:
public Iterator<E> iterator();
Returns an iterator over the elements in this set in ascending order.