Solution *LINK*
Alex Y
Kudos to Jim. You are obviously a lot better at this than I; I expected to have to leave three or four clues before someone got on the right track.
The sequence in question is
III, VII, XII, XIV, XVI, XIX, XXI, XXV, XXX, XLI, XLV, LII, ...
numbers that when expressed in roman numerals take exactly three letters.
BTW, someone posted a link to a site that helps you cheat on these. But if you use it on one of these sequence puzzles, you are honor-bound not to spoil the fun for others, or claim that you have solved it. 
Someone has way too much time on their hands!!
The On-Line Encyclopedia of Integer Sequences�