In many real-life routing problems, incorporating the negative effects of turns is an important, but often overlooked aspect. This is especially true for order picking in warehouses, where making the turns not only decreases the picking efficiency by reducing the speed of the vehicle, but it also results in other unquantifiable effects such as vehicle tipovers, increased congestion and increased risk of collision with pedestrians or other vehicles. In this paper, we consider the order picking problem in a parallel-aisle warehouse by taking into account the number and effect of the turns. In particular, we show that the problem of minimising the number of turns, minimising travel time under turn penalties, the biobjective problem that involves turn and travel time minimisation as separate objectives, and the triobjective problem with U-turn minimisation as a third objective can all be solved in polynomial time. Our computational results show that the algorithms we develop can generate the corresponding Pareto front very quickly, and significantly outperform heuristic approaches used in practice.