Good question. You could sort the records when they come back of course, but if you wanted to do it inside the method, there are probably a few options.

I haven’t tested these, but:

1) You could overload the GetLookup method to accept an expression parameter you can use for sorting inside the method.

e.g.
public IEnumerable GetLookup(Expression> sortSelector) where T : System.Data.Objects.DataClasses.EntityObject {
…
return ((IQueryable)query).OrderBy(sortSelector).ToList();
}

Then just call it with:
var states = repository.GetLookup(x => x.StateId);

Of course you’d need an overload for each data type you’d want to be able to sort on – the one above is for an int.

Or
2) You could return an IQueryable instead of an IEnumerable which would allow you to sort it at the calling end before resolving it.

e.g.
return query.AsQueryable();
instead of
return query.ToList();

The danger with leaving this out is someone could call the method with any type. Of course they’d get an exception, but it’s best to avoid letting them do it in the first place. An error at compile time is much better than an error at runtime.