[Azriel]

I've noticed this as well. However, I have also noticed one other behaviour that may either help clarify things, or help confuse them. When I am moving units from one of my own provinces to another one of my own provinces, it always happens before combat. Every time.
But when I move to a province occupied by an enemy, the sequence seems to be random. I also have tried to chase enemy kamikaze armies across my territories in a futile and frustrating attempt to stop them. Only rarely do I catch up to them, and when I do I have no way of knowing if I caught up to them because they stopped moving or because I moved "first."
My conclusion is that there is some sort of initiative assigned to the respective armies and they move in in that sequence in order to determine in which province battles are fought. And in these cases, moves within friendly provinces seem always to occur first, as if they are treated separately, even though the friendly province you moved into is attacked the same turn. As you all have shown, initiative does not seem to depend on the composition of the army at all.
On other thing, maybe you have realized this by now or not, but you can immobilize an enemy army by attacking it with more than one army. I have found that whenever more than one army attacks the same province, whatever enemy army is in that province always defends. Maybe this is statistically untrue, but empirical evidence is overwhelmingly conclusive. There is one exception here, and that is if at least one commander is ordered to defend, then there is a chance the other commanders in the attacked province may move prior to combat. Oh, by the way, when I say more than one army, I mean more than one group of commanders. When you select multiple commanders and give them all an order, it appears as if the game treats them as one army. I have noticed a difference between grouping them thus and when I group them differently or even send them separately.

This is just one more little detail that makes Dominions III such a great game. The less that players can master the game system, the more the contest becomes a test of skill and strategy. For what it's worth, I hope this is one mystery that is never solved.