I've seen the same thing reported in the itunes for Windows forum as well:
http://discussions.apple.com/thread.jspa?threadID=1707050&tstart=0
I have the same problem after installing itunes 8. Some, not all, playlists stop playing after one track when in shuffle mode. All the boxes in front of track names are ticked, and all my playlists (so far) seem to play through when they are not in shuffle mode. I've experimented with the buggy playlists by switching back and forth between shuffled and non-shuffled mode; if I start playing in shuffled mode, click the shuffle button to play songgs in order and then click it again, the new shuffled order always puts the currently playing track last. The clickybox "Skip when shuffling" (sorry, it's probably called something else - my itunes is localised into Swedish) is not ticked, and I've restored the number of times I've played and skipped each track, several times. This has to be a bug.
I see several people posting about the same thing but so far no general answer. Apologies if I've missed something.