How do I play selected albums in iTunes 11
Select your albums as usual.
Clear the Up Next queue (using button at top right of queue)
Right-click on one of your selected albums, and choose 'Add to Up Next' from the popup Menu.
That'll add all the songs from all the albums you've selected.
Click the play button.

If you check the up next queue, you see all the songs from all the albums you selected.

Songs are grouped by albums though. I'm not seeing a way to get the songs in the queue shuffled