You likely were doing it wrong.

When you do MP3gain properly you end up with a gain value for each track and an overall gain value for each album. If you were playing back your music randomly you'd use the track gain to make each random track match in volume.

If however you are playing back an album at a time, you use the album gain value. So while each album is matched in volume to the next, the relative volume of the tracks within the album is unchanged. And hence you maintain the dynamic range within each album.

The Squeezebox software has a setting called smart gain that automatically switches from track gain to album gain depending on how you are listening.

I imagine you were just using track gain values.