On mobile, the only option is shuffle play for an album unless I download it. Artists put time into making their track order and for many albums that tell a story(Pink Floyd The Wall) listening out of order is frustrating.
Updated on 2019-09-19
If you have a Premium subscription, you can stream the album in order by listening to the first song (double tapping it). The app will continue playling the next song automatically, until the end. Just be sure that the shuffle setting is not on since the start.
For free users, please vote on this Idea: