I don't have any speakers or headphones for my computer right now, so I don't listen to any music on it.
On my iPod though, I always listen to it on shuffle. Sometimes, I might listen to a certain song or two, but since I've only got maybe a hundred songs on it, I just put it on shuffle and get excited for whatever comes on.
When I'm listening to stuff on my iPhone, I normally choose a specific album and either listen to it all either in its intended order or through shuffle. There were times in the past where I'd just shuffle the entire collection of songs on my phone, but as my music tastes became more and more eclectic (and the songs themselves were mixed at differing volumes), they just became slightly dissonant with each other. I'd have some jaunty musical number seguing into a melancholy indie rock song seguing into Chopin seguing into something else. No particular flow going on. So, recently, I've made the executive decision to only focus on specific albums at a time, and it's been working out very well for my ears so far! :D
I have somewhat weird habits. I like to pick a song I want to listen to, and just let it keep going until I'm interested in something else. If I decide to shuffle, I wind up mashing the forward button on my keyboard. If I am playing a game though, I will shuffle my playlists with select songs in them (to prevent me from wanting to to mash the skip button.)