>What you describe, I think, is called the "travelling salesman problem", and you can search algorithms for that. AFAIK, no algorithm exists that is optimal (guaranteed to give the optimal result) and that also gets the work done, in a reasonable time, but I think algorithms exist if you assume the triangular inequality (which is a sensible assumption for travel - the asumption being that for any three points A, B, and C, distance AC < = distance AB + distance BC). Also, near-optimal algorithms exist.
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You can find more details at
http://en.wikipedia.org/wiki/Travelling_salesman_problem

Thanks a lot for providing this link, Hilmar.