Unless time is an issue, I tend to listen to full albums. If it's a new album, I'll put it into heavy rotation, but I don't really listen to it back to back more than a few times. If I don't have the time, though, I'll just listen to a single song and then choose another afterwards. I've got music for all moods.
I tend to just like to take music in the way it is presented, in proper order. I dunno why exactly, it just kinda became a thing once I started listening to prog. Concept albums and whatnot.