I'd like to understand what connected subsets and connected components of a GO-space look like.
Some definitions:
A linearly ordered topological space (LOTS) is a totally ordered set $(X,<)$ together with the corresponding order topology generated by all the open rays $(\leftarrow,x)$ and $(x,\rightarrow)$ for $x\in X$. For a point $x$ that is not the minimum or the maximum of $X$, the open intervals $(a,b)$ with $a<x<b$ form a local base of open nbhds at $x$. Let's write $\lambda(<)$ for this order topology.
A GO-space (generalized ordered space) is a totally ordered set with a more general topology, not determined by the order. Specifically and formally, it's a triple $(X,<,\tau)$ where $<$ is a total order on $X$ and $\tau$ is a topology on $X$ containing $\lambda(<)$ with a base of open sets that are order-convex. (A set $A\subseteq X$ is order-convex if for any two points $x<y$ in $A$ the whole interval $[x,y]$ is contained in $A$.) So, a subbase for $\tau$ is given by the collection of sets consisting of:
(1) all sets of the form $(\leftarrow,x)$ and $(x,\to)$ for $x\in X$;
(2) all sets of the form $[x,\to)$ such that $[x,\to)$ is $\tau$-open, $x$ is not the minimum element of $X$ and $x$ has no immediate predecessor in $(X,<)$;
(3) all sets of the form $(\leftarrow,x]$ such that $(\leftarrow,x]$ is $\tau$-open, $x$ is not the maximum element of $X$ and $x$ has no immediate successor in $(X,<)$.
See Equivalent definitions for GO-spaces (generalized ordered spaces) for some equivalent characterizations.
As an example, the Sorgenfrey line is a GO-space with $(\mathbb R,<)$ as underlying ordered set. The topology contains the usual open rays, as well as all closed rays $[x,\rightarrow)$ (which are not open in the Euclidean topology). Another example is the Michael line.
First the situation with LOTS (then I'll get to the question for GO-spaces). Suppose $X$ is a LOTS with order $<$ and $A$ is a nonempty subset of $X$.
Let $<_A$ denote the restriction of the order $<$ to the set $A$. The order $<_A$ is a total order on $A$ with associated order topology $\lambda(<_A)$. In general, the topology $\lambda(<_A)$ on $A$ can be strictly coarser than the subspace topology induced by the topology $\lambda(<)$ on $X$. (Example: $A=\{0\}\cup(1,2)\subseteq\mathbb R$) But if $A$ is order-convex in $X$, the two topologies coincide (easy to check).
On the other hand, being order-convex is a necessary condition for $A$ to be connected. Indeed, if $a<c<b$ with $a,b\in A$ and $c\notin A$, then the disjoint open sets $(\leftarrow,c)$ and $(c,\rightarrow)$ cover $A$ and give a non-trivial separation of $A$.
Therefore, the subset $A\subseteq X$ is connected iff $A$ is order-convex in $X$ and the ordered set $(A,<_A)$ itself is connected in its order topology. (As is well known, that condition can be expressed entirely by properties of the order $<_A$, namely the order is Dedekind-complete and order-dense.)
Aso, every locally connected LOTS is locally compact. See for example here.
What of these results still hold for GO-spaces?
Even though the order does not determine the topology for a GO-space, is there a way to detect that a subset is connected just by looking at the order?