I am really big into whole albums and concept albums... I have loads of albums I could not imagine skipping a song one. I never had Itunes though and I never liked just getting one song, often times except or the big hits, the songs fit in with an album, or at least good albums do this.
some of my top:
Age of Adz- Sufjan Stevens
Animals- This Town Needs Guns
This is a long Drive for Someone with Nothing to think About- Modest Mouse
Trouble Will Find Me- The National
The Ugly Organ- Cursive
The Rise and Fall of Ziggy Stardust and the Spider from Mars- David Bowie