For the longest time, I used to feel something akin to guilt if I would read an anthology in any other way than front to back. Skipping a story I wasn't taken with in the first few pages somehow seemed like cheating.
This passage from Ruth Rendell's Road Rage
in which Chief Inspector Wexford contemplates a collection of essays was particularly heartening to me:
He opened the French windows, drew a chair up to the garden table, went back into the house for beer from the fridge and the book of essays: No Passion Spent. Was it necessary to begin at the beginning or could he dip? He thought it would be fine to dip.