...as opposed to single songs on a shuffled playlist
1. I prefer listening to albums as a whole - end to end, exactly the way the artist intended to. There are idiosyncrasies and nuances that one can know only after doing so. The flow of Dark Side of the Moon, the stories of Metropolis Pt. 2 : Scenes from a Memory and Operation: Mindcrime, the cohesive nature of Fear of a Blank Planet, the history behind black sheep of Opeth's catalog - Damnation, the psychology/beliefs/listening habits of Rush members during each of the albums are all better conveyed this way.
2. It presents an opportunity to really absorb a song in context rather than judging from its face value. This has helped me grasp and internalise complex arrangements (à la Rush, Cynic, Scores by Hans Zimmer, etc.) An apparently not so catchy song can become a source of joy after several listens. A playlist on shuffle is virtually a guarantee that this song will not be registered in the brain's index.
3. I spend a massive amount of time dissecting, absorbing and musing over one album over and over again rather than fill a digital player with 16 GB of songs. It helps my cognitive function classify the songs and cluster them as one. This also increases the probability of me remembering the names of the songs, the lyrics, writers, etc. I believe too much music on a shuffled playlist serves no such purpose.
4. I try and buy 1-2 physical CDs per month. I like the feel of a tangible object in my hands while I listen to the album thereby dissecting, absorbing and musing over the artwork / design. There are albums with incredible camerawork, imagination, visual gags, etc. that would otherwise go unnoticed. Lasse Hoile, Hugh Syme, Storm Thorgerson have all created beautiful artwok and these are just to name but a few.