Fenrir, I honestly don't know how you can listen to metal and classical back to back. I mean, it's great that you can and I can certainly appreciate the deeper link between various, seemingly contrasting forms of music, but my own experiences as a listener would find the abrupt jump from one 'sound texture' to the next a bit jarring.
It depends on mood, and as you say I listen to the whole WORKS back to back, not to songs. Now that would really be problematic. Also, I tend to transition when I feel there is a bridge.For instance, the flat, or even terraced, dynamics typical of first-album Immortal and Ancient and their consistent mood share these traits with baroque music such as Locatelli's. They provide different experiences through character but they share a certain common plain.
I don't feel a too-abrupt feeling then, also because I listen to the complete work, which gives me a closure's peace before the next thing starts. When this happens the contrasting effect also makes me much more aware of certain details in the next work. Say Haydn's String Quartet after Vader's The Ultimate Incantation. But this doesn't always feel right. I do so when I need progression. But it is never 10 minutes of one thing and then 10 of another. It usually is a matter of complete works, just like when you are listening to metal albums. In the case of short-lasting works such as EPs or short symphonies (such as some of Mozart's), I need to listen to more of the same together in order to not make an abrupt change, in order to satiate my craving for each "scenery". Maybe it has to do with particular feelings towards music.
These are the sort of observations you must draw to listen to a lot of Beethoven's music as well. His works are almost always tied together by something that makes it consistent, yet this element is not always the same. Sometimes his way of transitioning through keys is so intense that it is difficult to determine the MAIN key of a movement. Sometimes this movement doesn't even make use of a main key and the main key is determined by the whole work's other movements of which this singular quasi-keyless movement is part of.
Sometimes it is a motif, but some of his works don't have this sort of glue and instead its something else, he even foreshadows a typically French Romantic take on it where the coherence is provided not through motif, rhythm or even harmony but solely through mood and character, as in his Choral Fantasy, as far as I have read (though I cannot vouch for it in detail since I am not really acquainted with the score).