I don't mind watching several episodes in a row. I was catching up on American Horror Story: Asylum by purchasing the episodes on Amazon. I had to get caught up to the point where I could watch the episodes on demand on my cable box. In one weekend, I watched the first seven episodes.
Some shows are better to watch one after another. I did not watch Lost when it first came out. I did watch it when it was showing on SciFi. We got caught up on it and were ready to watch it on its normally scheduled time. I think this was season 4. Man, after watching an episode a day, it was frustrating to have to wait a week. I could easily see this show being marathon-worthy.
I had the same thing with Babylon 5. Watched an episode on SciFi each day and then had to wait weekly in season 5. This is also a good choice for marathons.
I would love a Game of Thrones marathon, but my wife doesn't like cramming it all in. For the first season, we would watch an episode and then stop for a few days. But I want to see the next episode. She finds it too tense to watch two episodes in a row, while I find it too tense to stop suddenly and wait for the next episode.