I use my m240 with Rhapsody subscription, and although I haven't used it with Audible, it comes with a complementary 3 audible download card and the Sandisk website has an audible driver download, so I think it is fair to say it works with Audible. Also I bought mine a Circuit City - comes with an 80 dollar rebate for six months of Rhapsody (so you only pay 10 bucks for 6 months) - make sure you buy online though, they always have cheaper prices and you can just do in-store pick-up.

The player handled great - the one thing I was not crazy about was the sound quality, so I eventually ended up getting a Creative Zen Vision:M - Now that I think about it, I bet most of the creative players support what you are looking for - although the m200 series is cheaper.