I'm usually listening on my over-ear headphones. I'm a college student who lives in the dorm so I usually can't play things out loud (I don't think my roommate wants to hear Seventh Wonder). And I'm usually doing something else while listening. If an album is new to me it may just be browsing the internet (because typically I devote a greater degree of attention to a new album because it's unfamiliar), but usually I'm doing something else, whether that's reading stuff online, doing laundry or doing homework that has relatively low demand on attention. I find that often if I place 100% of my attention on music that I'll overanalyze it and enjoy it less, so I usually have some other thing that I am also doing.
Other things: I buy CDs and rip them into iTunes. I have most of my CDs stored on a shelf, with a drawer available for overflow. Soon I'm probably going to have to get one of those CD towers.
I almost always listen to full albums. I really appreciate a well-constructed album that is a full journey in and of itself. Most people I know listen to much of their library on shuffle these days, which is something I could never do—it would be too weird for me to oscillate between so many different styles. It works when it's a playlist with a stylistic thread running through, though I rarely make those, but shuffle is just too much. This full-album approach is also why I ignore most pop music. I have no problem with pop music stylistically, and when I find pop artists who produce good full albums (Taylor Swift, Lorde), I often play those to death, but when there are a few singles that I like but the whole album isn't a good listening experience, I really just don't connect at all. I've had this issue with a few albums I've bought from artists who are more on the pop side of things.
If CDs ever stop being sold and bands go back to using vinyl, I'll get a record player rather thsn have to put up with iTunes 128kbps downloads.
...iTunes downloads are 256kbps, which is totally different from 128kbps. There's much more audible difference between 128 and 256 than there is between 256 and lossless. Not saying you should or shouldn't do something, just correcting a fairly significant factual inaccuracy. I rip CDs at 256 and notice no difference from the lossless ripping I had done in the past, while just the thought of 128 horrifies me.