Apologies if such a feature has been requested already.  I did my best checking through the list of enhancements.  However, at the time of writing bugzilla.gnome.org was retrieving pages very slowly for me, so i couldn't easily browse for similar requests.  

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I propose rhythmbox have the ability to 'link' songs together.  

Suppose the user determines two tracks from a particular album should always play into each other in a particular order, seamlessly, and without fade.  RB should allow in such a situation for these tracks to be linked together in an order in accord with their track numbers.  Furthermore, suppose playback is shuffled, and suppose a track belonging to a linked set (a 'series'), but is not the first track of the series, is shuffled upon.  In this situation RB should instead begin play-back from the first track in the series.  
(Did the above make any sense?)

For those familiar with Photoshop, consider this the audio playback equivalent of photoshop's 'link' function, found in the layer management window of said program.
http://www.bartelme.at/journal/archive/photoshop_cs2_layer_management/

How do we know which songs in a series should be linked/played first, second, third, ... last.

Of the top of my head, the best way to approach the ordering of the series could be thus;

The most obvious is to check the artist, album and then track number, given the artist and album are identical, RB should assume that the track order is the order in which the series of linked tracks should be played.  My presumption is that most users would accept this as the logical way to approach this issue.

However, if track info is not available we could either fall back to the filename and sort alphanumerically.  Another way could be to determine the order based on the order of the tracks as they were selected for linking.  So, suppose the user holds Ctrl and selects three tracks for linking, clicking on each track individually.  The track selected first would play first in the series, the track selected second would play second, and the track selected thirdly would play last.  A selection made by Shift-clicking could be ordered based on the 'direction' the block of tracks were selected in (1->x/top->bottom or x<-1/bottom->top).

May i reiterate that if during shuffled playback, one of the tracks within the series was shuffled upon, RB should default to playing the first track in the series of linked tracks.  Though perhaps this could be optional.

UI-wise, borrowing from Photoshop, when a track belonging to a series is clicked upon, the selected track and those tracks also belonging to the same series of linked tracks could reveal a 'link' icon located within the track-name column.  The icon could be aligned to the left margin of the column.  The link icon should exist above the track title, and a minimum column width should be enforced(?).  A number could also accompany the link icon, indicating the order in which the series of linked tracks is played(I tend to think this adds too much visual clutter?).

One final stream of thought.  Perhaps when a linked track is shuffled upon, the series could auto-append to the song queue.  This would give the user the opportunity to cancel the series being played should they desire.  RB would  in turn finish the track it is currently playing, then ignore the fact it belongs to a series, and continue to follow the current set of track selection rules.  Similarly, if a track belonging to a series is queued, the entire series could be auto-appended to the song queue in the series-defined order.

Here's a bit of a mock-up.  It doesn't include all of my suggestions, such as accompanying numbers indicating playback order, or the fact series get added to the song queue.  Its simply an illustration of the basic notion of what track-linking is.  Reminder links only appear when a track belonging to a series is selected, ala Photoshop.

http://lh4.google.com/matthew.joseph.mcgowan/R4sujZS3hWI/AAAAAAAAB4M/vgGGdCjBAiI/Screenshot.jpg