You can certainly do this on iPod. It gives you several browsing menus to choose from, such as by Artist, Album title, Genre, Composer, etc. For my classical, I tend to use the Composer menu, since I like to list the performers in the Artist field. Submenus once you go into Composer will list albums by title, from which you can choose an entire album to play, and tracks will be in their original order as long as you tag them properly with track numbers.
You can also browse and choose individual tracks from each of these albums and play them, or you can select them to add to an on the go playlist. You also have the option of creating pre-arranged playlists on iTunes and importing them to the iPod for later use. You will need to make sure your mp3s are properly tagged to make browsing easy, but I assume you'd want to do that anyway.