I bought one 32GB card that didn't work well. I assume that is something that is more likely to happen at higher densities, but that shouldn't be discounted.
The filesystem the 940BT expects is either FAT16 or FAT32. I doubt that's your problem, but you might want to verify what is on your card by looking at it with a Winders box just to check the first time.
You should think of the SD card like a disk drive when you put stuff on it. The tunes in a directory are played in order of their date/time stamp. I believe the tunes from the next directory (in time order) are played next (if you haven't monkeyed around with the replay feature.
I don't have iTunes so I don't know if they are in the proper format (I would expect they are - just don't know).
So far, I've just copied music off my CDs into mp3 files using RealPlayer and it works fine. I plan on making separate directories for different types of music or other groupings and either put albums in them or individual songs. I find navigating in a long list a hit-or-miss proposition (I don't know of a way to scroll one entry at a time. All I know how to do is carefully flick my finger over the list to scroll it) so I'm going to try to organize them so each directory listing isn't very long.
Good Luck!