Can you play more than one video game at a time?

I have a quirk that my wife laughs at me for.  It's not a bad quirk, or at least I don't think so.  It's certainly not a harmful quirk.  It's just a little strange, and I'd love to know whether I'm alone in this or not.

When it comes to video games (and, oddly enough, shoes), I can only really play one game at a time.  I mean almost total exclusivity.  That's why I so rarely buy two games at once.  Remember when I said that I had just bought two games and I was "currently playing CSI"?  The other game sat there until I finished the CSI game.  Once I get started on a game, I have to finish it.  I've almost totally stopped playing NCAA Football 10 (though I did finish the season I was currently playing on Saturday), and that's because there are two new games in the house.  I finished CSI, and now I'm playing Call of Juarez.  I'll probably play that until I'm done with it (with the occasional Peggle break, said game which I might do another post about).  Part of me wants to get that done before Modern Warfare 2 comes out, because I've been chomping at the bit to play that game and I have to wonder whether Call of Juarez will fall by the wayside.

I don't think it's just laziness (not wanting to change discs); it's more of a mental thing.  I think about playing a different game, but then I decide I want to see what's coming next in my current game. ("Hey, I haven't played Grand Theft Auto IV in a while, maybe I should play that?  Nah, I'll just play Call of Juarez")

I honestly cannot explain why this is.  As I said, I'm the same way with shoes (to my wife's frustration).  No matter how many pairs I have, I have to wear just one until they're worn out.  So it's pointless to have 4-6 pairs of shoes for me.  But why I'm that way with games (the shoes can be considered a comfort thing), I don't know.  That's one reason I'm moving away from sports games with long seasons; I want to get the seasons done and make some progress but I don't want to be playing the same game for years.

Maybe it's a control thing?  I get used to one set of controls, and then to go back and forth between them, remembering which control scheme goes with which game, can be difficult sometimes.  Especially when you're playing multiplayer and everybody on there is much better than you anyway.  In those games, you almost have to have internalized the control scheme so you can do the right thing in a split second.

So, a question for you video gamers out there.  Do you do the same thing?  Do you play one game until you're done with it?  Or can you switch between games with no problems, playing two or even three games at a time?  This doesn't necessarily apply to special circumstances, like if you play Rock Band with your family but then play something else when you're by yourself.

I'd be interested in your thoughts, especially those of you who play online MMOs (hint hint to a certain somebody).