I went through the same questions and had lots of trial and errors since I never used an mp3 player. I have had the Zen Micro for about 2 months now. I love it. I use it through several libraries--one being netlibrary.com and the other using Overdrive. There are 10 bookmarks you can choose. I also have about 6 audible books on my player. I have been very happy with my choice.
I am doing extensive research to find the best small mp3 player (cost no factor)for downloading audiobooks, mostly from netlibray which uses window media player. It has been recommended to use 'playsforsure' types, but most don't state which have bookmarking capability etc. Looking for info from someone who has already used a player for above. Would like to store multiple songs along and books, but want to keep it truly portable for exercise, such.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic