I don't know about itunes specifically, but most media players offer fade-out/cross-fade functionality, so that you don't have to mess with the volume every time.
Couldn't tell you about the science of it, but fades are as a rule considered to be a gentler way to transition in any given situation.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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