You should be using coffeescript though, makes the javascript in the example look like:

  fs = require('fs')

  for i in [1..3]
    fs.readFile 'test.coffee', (err, data) ->
      console.log("#{i}. Finished reading file")
    console.log("#{i}. doing something important...")

And if you want to get rid of that "gotcha" (which is a javascript one, not a node.js one):

  fs = require('fs')

  for i in [1..3]
    do (i) ->
      fs.readFile 'test.coffee', (err, data) ->
        console.log("#{i}. Finished reading file")
    console.log("#{i}. doing something important...")

This will output the number you'd intuitively inside the file read callback function.