Depth sorted Gizmos in the Unity Editor

SortedGizmos.cs

using System;
using System.Collections.Generic;
using UnityEngine;

public static class SortedGizmos
{
    static List<ICommand> commands = new List<ICommand>(1000);

    public static Color color { get; set; }

    public static void BatchCommit()
    {
#if UNITY_EDITOR        
        Camera cam = null;
        var sv = UnityEditor.SceneView.currentDrawingSceneView;
        if (sv != null && sv.camera != null)
        {
            cam = sv.camera;
        }
        else
        {
            cam = Camera.main;
        }
        if (cam != null)
        {
            var mat = cam.worldToCameraMatrix;
            for (int i = 0; i < commands.Count; ++i)
            {
                commands[i].Transform(mat);
            }
            // sort by z
            var a = commands.ToArray();
            Array.Sort<ICommand>(a, compareCommands);
            // draw
            for (int i = 0; i < a.Length; ++i)
            {
                a[i].Draw();
            }
        }
#endif
        commands.Clear();
    }

    public static void DrawSphere(Vector3 center, float radius)
    {
        commands.Add(new DrawSolidSphereCommand
        {
            color = color,
            position = center,
            radius = radius
        });
    }

    public static void DrawWireSphere(Vector3 center, float radius)
    {
        commands.Add(new DrawWireSphereCommand
        {
            color = color,
            position = center,
            radius = radius
        });
    }

    public static void DrawCube(Vector3 center, Vector3 size)
    {
        commands.Add(new DrawSolidCubeCommand
        {
            color = color,
            position = center,
            size = size
        });
    }

    public static void DrawWireCube(Vector3 center, Vector3 size)
    {
        commands.Add(new DrawWireCubeCommand
        {
            color = color,
            position = center,
            size = size
        });
    }

    static int compareCommands(ICommand a, ICommand b)
    {
        float diff = a.SortValue - b.SortValue;
        if (diff < 0f) return -1;
        else if (diff > 0f) return 1;
        else return 0;
    }

    interface ICommand
    {
        void Transform(Matrix4x4 worldToCamera);
        void Draw();
        float SortValue { get; }
    }

    struct DrawSolidSphereCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public float radius;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawSphere(position, radius);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }

    struct DrawWireSphereCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public float radius;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawWireSphere(position, radius);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }

    struct DrawSolidCubeCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public Vector3 size;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawCube(position, size);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }

    struct DrawWireCubeCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public Vector3 size;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawWireCube(position, size);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }

    struct DrawSolidMeshCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public Vector3 scale;
        public Quaternion rotation;
        public Mesh mesh;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawMesh(mesh, position, rotation, scale);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }

    struct DrawWireMeshCommand : ICommand
    {
        public Color color;
        public Vector3 position;
        public Vector3 scale;
        public Quaternion rotation;
        public Mesh mesh;

        private Vector3 transformedPosition;

        public void Transform(Matrix4x4 mat)
        {
            transformedPosition = mat.MultiplyPoint(position);
        }

        public void Draw()
        {
            Gizmos.color = color;
            Gizmos.DrawWireMesh(mesh, position, rotation, scale);
        }

        public float SortValue { get { return transformedPosition.z; } }
    }
}

Nice!