ffmpeg an image sequence
It is actually possible to let ffmpeg actually handle the glob for you. Use the -pattern_type option from the image2 demuxer and wrap the glob in single quotes to prevent expansion:
ffmpeg -f image2 -pattern_type glob -i '*.jpg' out.mp4
For older versions of FFmpeg, you could use the % character, for example:
ffmpeg -i %*.jpg out.mp4
The above is however considered deprecated.