I had different ideas of where something like this might go, so here are some idea of how this would act.
1.) There'd be a button labelled "Queue" and you could add individual maps in a certain order and press another button to start the sequence. There would an option to shuffle map order to make things more interesting when you play through them
2.)It could be under the collections tab, where you would just press some button on the collection title and play through a sequence of randomly selected maps from said collection.
Also, it could handle failure in several different ways.
1.) You could have an option to make it so that if you fail any song in a queue you set up, it would fail you out of the whole sequence and you would either restart or quit from there
2.) Make it so that if you fail, you just keep retrying before you're allowed to move on
3.) have a life system where you can only fail so many times before restarting the queue (and maybe there would be checkpoints)
-(thinking about checkpoints made me think that at a certain interval number of songs, you could have the game automatically give you a harder song [out of the songs you picked, of course.] depending on the queue length, it would make measure the star level of each song selected to be a "boss" stage and spread them out in ascending order, with the very last map you play being the very hardest out of maps selected)
4.) If you fail once, it would just give you a chance to retry or move on to the next song. (and you can always press retry and quit in the pause menu, unless you're playing the mode where you have limited lives. Then, pressing retry would count as losing a life.)
5.) Blitz mode! would be no retries allowed, and if you fail a song you're immediately sent to the next song in the queue, without even seeing the result screen. (If game is paused in blitz mode, the only options would be "continue" or "quit")
All these and more are ideas that could be done in both single player and multiplayer (although i was thinking about it from a single player perspective)
All the ideas listed could be a whole separate set of mods that you could put on your queue (in combination with things like playing ALL maps in a queue with existing mods)
I know a lot of people have requested playlists and peppy has said no, since osu is not a music player. But this wouldn't have to play songs while afk/idle.
Limit it however you have to, but from an experince view, this seems like it would make for an interesting and compelling addition to osu.
Obviously this is a vague concept I have with certain specific images in my head, so don't be too critical of the little things. I just wanted to speak my part as well.