This is a simple tip, but I wanted to submit it just in case.
When using iTunes, if you only have the Library selected, then the leftmost column of the main display be empty. If you have a playlist selected, the leftmost column will display numbers.
Why is this important? Well, if you choose to sort the list by using these numbers, when you enable shuffle mode you can see the order in which the songs are going to play. It's a little more user-friendly than watching the Library list jumping all over the place during shuffle play.
To do this if you don't have any playlists, just create one and add all the songs from your library to it.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020425001741705