Interesting responses so far, I must say.
I tend to listen alone, but to be honest, that is not really by choice. (My wife loves music too, which means I get to listen with her sometimes, although she does prefer the volume to be a bit lower than I like, but she does compromise on that, as it is a bit higher than she likes.) I mostly prefer to listen with friends actually. I love it when friends bring over they favorite music, (or when I go to a fellow audiophile's house and bring my favorite music).
I have a couple of music loving audiophile friends, (both of whom still go to concerts too), who enjoy both coming over to my house to listen to music, and hosting me, when I go to their houses to listen as well. (And yeah, there is a certain amount of critical listening going on, as well as bits of advice being given, and taken.) But for me, the experience is not really about critical listening, but socializing in an environment that I enjoy. Sharing and learning about new music is extremely enjoyable in these situations. Sometimes we talk, (in which case we will lower the volume a bit), but mostly we just listen quietly. We tend to share the sweet spot on the couch, (I get it when he plays his music, and he gets it when I play my music).
My two cents worth anyway.