When I've my iPod and I'm on my way to work or something, it's always on Shuffle mode. There's not always enough time to listen to a whole album, so individual songs make more sense.
But when I'm at home and my roommate's not, I do make the time to sit down with a record, CD, DVD-A or SACD, and listen to the whole album in one go. I'm from the "albums era" rather than the "singles era", so I definitely prefer listening to an entire album (early Genesis, Pink Floyd, Marillion, etc.).
cheers,
supervij