Given that your points are ordered, spline interpolation is definitely the best way to go here. (As indicated by by bo1024's comment) I highly recommend the following notes:
http://www.cs.mtu.edu/~shene/COURSES/cs3621/NOTES/
And specifically the section here would be most relevant to getting a closed loop like you asked for:
http://www.cs.mtu.edu/~shene/COURSES/cs3621/NOTES/spline/B-spline/bspline-curve-closed.html
EDIT: If the curve has to pass through the points, then the unique degree n solution is the Lagrange interpolating polynomial. You can just make one polynomial for each component of your points vectors using the formula on the wiki page:
http://en.wikipedia.org/wiki/Lagrange_polynomial
Unfortunately Lagrange interpolation can be pretty noisy if you have too many points. As a result, I would still recommend using some fixed degree spline interpolation. Instead of B-splines, another option are Hermite polynomials:
http://en.wikipedia.org/wiki/Cubic_Hermite_spline
These will guarantee that the curve passes through the points. To get a closed curve, you need to repeat the the first d points of your curve when solving for the coefficients, where d is the degree of the Hermite spline you are using to approximate your points.