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If I hear a song by some band and I like it, I immediately download all their albums... usually. (Not necessarily on the same day, but if I start, I'll keep downloading until I'm done)... and I almost never regret it. Everything I download, I like. And right now, I have a list of things I need to download... it has more than 10 items. Some are bands that are new to me, and others have just released new albums, and I need to update my collection.
Regarding the playlist... I have only one, and it contains all the songs I like. Although some of them aren't that great, and I usually skip them when they come on... but my mood is always different, and sometimes I might listen to them.
I was also thinking about creating a "chill" playlist... with only calm songs, quiet ones, etc... for those times when I want to sleep or it's just late, or I can't make too much noise. I'm not sure yet.