Due to the way I approach a lot of media (eg. games, TV, comics, etc.), I almost never play more than one game at a time. The only exceptions are the occasional multiplayer game which is rare.
Shit, I often don't even mix media. I'll be in TV mood and ignore games and comics, then be in a comic mood and ignore TV and movies and games, then a game mood where everything else is on the back burner. But in each of those cases, I finish things up and almost never jump out in the middle.
This has the nice benefit of not forgetting where I am (well, not any more than usual, which can be a fair amount when it comes to my brain), but the disadvantage of potential burnout.