I'm with Ckorody. If I'm listening to LPs or CDs, I almost always listen to the entire album in order. I'm sure I got in that habit from all the prog rock "concept" albums I bought in the 70s, when they were designed as a coherent whole. Plus, as Chadnliz points out, you end up hearing great tracks you might not if you skip around.
My iPod, however, is set to shuffle 100% of the time, AND I have a smart playlist set up so that it never repeats tracks until they've all been played once. I only use my iPod at times when I'm doing something else - mowing the lawn, walking, airplane trips - so I don't really care how the tracks fit, and I enjoy the variety.
When my tuner is on, I generally listen to whatever the DJ picks.
:-)
David