With my CD collection: alphabetically by artists, then for multiple albums by an artist, alphabetically within the set based on album title.
iTunes: album by artist. It's basically set-up by artist (when I want Patti Smith I just hit P), but compilation albums and such are filed by the "album artist." So, for example, I'm Not There, essentially a Bob Dylan cover album, is listed among the Dylan albums despite the various artists. I find this arrangement to be very convenient.
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