Is that with the native Video app?
With the native app you can but you have to mark your videos as tv shows and make them a part of a series when you sync them in iTunes. To change the file type Select all the files together, right click on them and select properties. Then change type to TV show and make a series name. Be aware in iTunes they disappear from the videos and appear under TV shows section.
When you sync they will appear together and you can play the group.