I can't tell you which actual players support this, but if you want to listen to audio books I would definitely get a player that has bookmark support. Then you can stop it and resume at the same exact point.
I don't use Audible.com. But when I buy an audio book I like to convert it to mp3 so I don't have to carry all the discs around. Does anyone have experience with this. So far I have been using my pocket PC but I want to buy a player that holds more.