Am I missing something if I don't listen to entire albums and in the correct order of tracks?

If you use iTunes it should preserve the track order for you, so it may not be as bad as you think, but I would definitely say you are missing out. As an artist myself, I know you put songs in the order they are on purpose, and there are some albums I own that I cannot possibly listen to out of order because of a purposeful flow created by the artist. You don't have to always sit their and listen to it that way, I will shuffle a lot of my music, but I would highly recommend listening to it in order, at least the first time you listen to it. There is just a certain magic to it that you cannot describe.