I entered a request for this the other day, and was referred to this thread. Just to keep it all in one place, I'm pasting the case I made for the feature here:
Classical music is the best example of the need for this, I think. Symphonies generally include 3 to 5 movements, and each movement is generally a separate file.
Now let's say I want to create a playlist containing several symphonies by various composers. Currently I can add all the files for all the movements for all the symphonies to a playlist, and I can play them in order. But if I want to randomly play this playlist, but keep each symphony together and in order, I can't do it. In the current feature, random playback would randomly play individual movements.
If, however, I could build my playlist by picking each symphony as a single piece (defined by an m3u file), random playback could do what I want. Randomly play complete, intact symphonies, without randomizing the movements within each symphony.