Much of the time they don't, and I'm as much of a shuffle-play enthusiast as anyone, but there are times that it makes all the difference in the album when played end to end. There are obvious examples like Dark Side of the Moon, Camel's Snow Goose, classical pieces, so forth, but the first thing I thought of when I saw the subject line is Nina Hagen's NunSexMonkRock. IMO the album (and by that I mean the vinyl record) has side one and two totally backwards. I feel that the flow of the album is vastly improved when it opens with "Born in XIXAX
...then concludes with "Future Is Now"
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