On a desktop/laptop browser:
The embedded playlist works well and you can easily start it off and move on with other activities as long as you keep that browser window open. Also, I think that order of playlists DOES matter and while you can jump around and listen to individual tracks in whatever order you want, I believe that takes some of the fun out of it.
You can also download that big giant mp3 file locally and get it into itunes or whatever other local .mp3 player you want to use.
On a mobile device
The embedded playlists works, but if you’re device locks it may not automatically play the next song. The “big, giant mp3 file” works better if you want to listen straight through from start to finish. On iOS devices, that mp3 file will play right within Safari.