Full albums are the best; there are some albums that require you to play it in full otherwise I feel empty listening to one song at a time.
Last album in full? Probably Lateralus by Tool
Yeah, Tool, NIN, and Mars Volta do that a lot. Neko Case's
Middle Cyclone is like that as well. Makes the whole thing seem more polished and interesting, although some albums will have a song I skip.
I only have a CD player in my car, and have about 8 albums in there from Soundgarden to Nico, but I mainly have short trips in my car so it sometimes takes a while to get through an entire album. The last full album I listened to on my computer was Little People -
Micky Mouse Operation, 3 days ago.