How can you stop your ipod shuffle from skipping between songs?

Most of my music (ex. Abbey Road, Dark Side of the Moon, Sgt. Pepper's Lonely Hearts Club Band) run into each other. Playing the CD there's no skip but on my ipod shuffle (2nd generation) it pauses for one second between songs. Any way to fix that? And does a more expensive ipod (ipod nano) do it, too?