I tend to listen to whole albums rather than songs, because the songs on albums often share the same or similar mood/viewpoint/principle/expressions. There usually is a certain coherence, which would be lost if I'd listen to only 1 song from each artist at a time. There are even albums which are better listened to as a whole than each song alone (Radiohead's OK Computer).
I also don't like music after 2001, with very few exceptions. It seems to be uninspired, badly mastered, boring, etc. last great albums for me would be Tool - Lateralus, Radiohead - Kid A, Underworld - Everything Everything, Godspeed You! Black Emperor - Lift your Skinny Fists like Antennas to Heaven, Anythony Rother - Popkiller, Eminem - Marshall Mathers LP.
One of my favourites at the moment are (apart from the above mentioned)
Tool - Aenima,
Nirvana - Bleach + In Utero,
Hendrix Experience - Are you Experienced,
U2 - Joshua Tree,
The Cure - Disintegration,
Neil Young - After the Gold Rush,
Coltrane - Love Supreme + My Fav. Things + Blue Train
The Doors - LA Woman + The Doors
The Clash - London Calling
Bowie - Station to Station + Low + Diamong Dogs (+Tour '74) + Scary Monsters, Super Creeps + Heroes + Rise and Fall of Ziggy Stardust + Nassau Concert '76
Marvin Gaye - What's Going On
Bob Dylan - Highway 61 Revisited
Pixies - Doolittle
Joy Division - Unknown Pleasures
Bruce Springsteen - Born to Run
Vertigo OST
Rainbow - Rising (album cover is one of the best ever)
Gang Starr - Moment of Truth
Depeche Mode - Violator + 101
System of a Down - Toxicity
Megadeth - Rust in Peace
Judas Priest - Painkiller
Brian Eno - Another Green World
Pink Floyd - Wish you Were Here + Dark Side of the Moon + Animals + Meddle
Led Zeppelin - Led Zeppelin IV + II + Houses of the Holy
Mozart - Best of
Beethoven - Best of
Wagner Best of
Haendel - Best Of
Kyuss - Welcome to Sky Valley
Mingus - Time Out + Mingus Ah Um
Pearl Jam - Ten
C. Mayfield - Superfly
Soundgarden - Superunknown
Derrick May - Innovator
Metallica - Master of Puppets + Metallica
M. Davis - Kind of Blue + Around Midnight + Workin' with the M. Davis Quartet + Bitches Brew
Bob Marley - Legend + Exodus
Stevie Wonder - Innervisions + Songs in the Key of Life
Nas - Illmatic
Wire - Pink Flag
Television - Marquee Moon
Steely Dan - Aja
Crimson King - Court of the Crimson King (including the track "21st Century Schizoid Man")
Rolling Stones - Sticky Fingers + Exile on Main St. + Let it Bleed
Aphex Twin - Selected Ambient Works '85-'92
Grover Washington - Mister Magic (especially the title song)
Run DMC - Raising Hell
Johnny Cash - At folsom Prison + A Hundred Highways
Red Hot Chili Peppers - Blood Sugar Sex Magic
Art Blakey & The Jazz Messengers
Orbital - Brown Album (the songs could've been shorter)
Kate Bush - The Dreaming
Velvet Underground - Velvet Underground & Nico
The Smiths - Queen is Dead
Eric Clapton - Complete Clapton
Black Sabbath - Paranoid
Deep Purple - Machine Head
Alan Wilder - Recoil Selected (for it's experimentation)
DJ Shadow - Endtroducing
Alice in Chains - Dirt
Johnny Cash - Ring of Fire: Legend
Songs:
Cult of Personality
J. Brown - Funky President
Eminem - Lose Yourself
Faith No More - Midlife Crisis
The Smiths - How Soon is Now