When I buy an OST, generally what I do is this:

I immediately copy the discs with my computer. Then I listen to the copies to make sure they work. If the copies work, the originals work. Then I rip the copies to my computer and appropriately tag all the MP3s and whatnot. Then I transfer the files to my iPod and listen to them in order there. Once I'm sure it all works, usually all the listening I do is in my Sounds Of The Video Game playlist where I keep all my video game music. Since I keep both my Winamp and my iPod on shuffle unless I specifically want something in order, it's completely random.

Therefore the last OST to which I've listened all the way through would be the last one I bought: Final Fantasy X-2.