If you have a bunch of playlists in a single folder, you can play all of those playlists as if they were a single playlist by selecting the folder and playing it. Anything you can do with an ordinary playlist -- shuffling, sorting, etc. -- you can also do when playing a playlist folder. The hint works with folders that contain ordinary playlists or smart playlists.
[robg adds: I thought we had this documented here somewhere from years ago, but I couldn't find it. As far as I know, though, there's no way to combine playlists from multiple folders (i.e. Shift and/or Command don't work to select more than one playlist).]

