Best MP3 for audio books AND exercising

The upcoming Sansa Clip looks like it would work for you
I can't say about the features, but Sansas always have plenty so check up on it

I am in the market as you are and this seems to be the best for the $$ I have come up with.
http://www.overstock.com/Electronics/2GB-TRIO-MP3-PLAYER-VOICE-PERPRECORDER-USB-RED-W-THUMB-DRIVE/2630871/product.html

I have two Creative Zen Nano Plus players. They are perfect. I ordered my last one thru Walmart online and it came with earbuds and an armband. (Check when you order it - some packaging omits the armband.) I toss the earbuds. The arm band is nice - I coil up the extra cord and drop it down the back of my Tshirt while I exercise or walk. The player is only 1 GB, but I can get maybe 4 average length books on that. Turn it off at the end of the session and it picks up where you left off the next time you turn it on. The only drawback is that the back is very flimsy and sooner or later you will break the tab off that holds it in place. The player comes with a rubberlike skin that holds the back in place while it is in your armband. The battery life is excellent and the size is great. Can't watch movies on it, but hey - you're supposed to be exercising anyway! http://tinyurl.com/bnzkx Before posting this entry I checked on Walmart's website and the player is not listed - nor is it listed on Staples site, where I have seen it advertised. This may be a discontinued item, although it is shown on creative's site. Keep your eyes open and grab one if you see it for sale - you won't be disappointed in it.

I got the Creative Zen V plus for the very same reason - to exercise and listen to my Audible.com books. I have been extremely pleased. I actually listen to it all the time and I'm considering getting the 16 gb. I have had no issued whatsoever with it! I actually brought the 4gb for twice the price they are charging for it now. It has been worth every penny I spent.

I forgot to mention this is a flash player - no moving parts while exercising. Also, the bookmark feature is awesome - you can have up to 4 different bookmarks. You can also do a shutdown and the mp3 will resume where you stopped when you turn it back on. It doesn't run on batteries though. I happen to like that feature. IF you listen to as many books as I do - the cost of batteries were really starting to add up. (My previous player ran off of batteries . . . lots of them!)