I know DirecTV can play a whole folder of shows in a row.
For example if you have the entire season on Game of Thrones recorded on your DVR, all of those shows will show up in one single folder in your DVR playlist. If you highlight the folder and press play it will start at the first episode and play them all in a row, one right after the other. I believe it usually starts off wherever you left off last though. So if you've already watched the first episode, and half of the second episode, it would start playing from the middle of the second episode.
As far as playing a bunch of different movies, or TV shows, I don't believe the DirecTV DVRs can do that (or at least I don't know how to if it can).