Yes, this certainly would be good native functionality.

For now, try my Back Button script!

I am a bit trigger happy, and when I hit random, sometimes I hit "next song" too many times. I realize I liked the song I just skipped, and when click "previous" it goes to a completely random song. Then I realize the song that was on before I hit "back" was good too, so when I click "next" it plays another (completely random) song.

It'd be nice if it kept a memory of what songs it's played so I can go back to it.