The discontinuity of the list is caused by the note
being a standalone element, not a child of the second numbered list element. To prevent the discontinuity of the list, start the note
directive at the same indentation (in this case, 3 spaces) as the the text of the intended parent numbered list element. So instead of your sample reStructuredText, try this:
Fixed list example
------------------
#. First do spam
#. Then do ``eggs``
.. note::
Nobody expects the Spanish Inquisistion
#. Then do spam and ``eggs``.
This is one of those things about reStructuredText that's neither easy to spot, nor particularly well documented; see this question on nested lists for a closely-related problem.
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