Funny, I was thinking I'd want an opposite feature... "Insert Sequential".

It'd work like this:

Let's say I'm shuffling a huge playlist. And I want to insert a single album to play sequentially. As it stands right now, I turn off shuffle then insert that album. But I'd rather leave shuffle on so that the shuffle can resume naturally after the album is done playing. So I'd select the album's playlist and press-n-hold, and select "Insert Sequential". It would insert the playlist sequentially right after the current song, even though the current mode is shuffled.

My favorite use for this would be CarTalk episodes on road trips. I could leave the long music playlist shuffled, and once in a while, stick in a CarTalk episode without interrupting the flow of things.