I rarely use shuffle; I like the flow of a whole album. I do find that my attention span is getting shorter, though; while I used to be able to just stare at the wall and really listen, I now get antsy and need other distractions, like reading or the web or whatever. Kinda sad, I guess, or maybe I was just really freakin' lazy but I thought I was being "deep" by just staring at the wall.
I used to think that ambient music lent itself very well to deep listening, but I'm finding more and more that it can all too easily become wallpaper if I don't really concentrate. Which I do less and less.