I usually play them 1 by 1, sometime two at a times if one game requires more than one playthrough or has a multiplayer component than I really like ( like right now I am playing Uncharted 3 and Skyrim, and actually spending a bunch of time on U3 multiplayer despite the fact that no trophies are related to it).
Edit : Skyrim platinum is going to take me a while as I am actually playing 2 characters, a lvl 17 warrior Nord and a lvcl 9 Khajit dual wielding thief..