I think the difference is that I only have (usually) 1 copy of any given song.

Right, the problem only happens if you have more than one copy of a given song: One in the album playlist, and the others in "mood" playlists or some other kind of playlist. If you only have one copy of a given song, then unshuffling will always drop you back into that song's playlist and there's no issue.

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Tony Fabris