There are commercial apps - like PocketTunes - which I used years ago on a Palm, but now costs nearly $40. However, I think CorePlayer (which a lot of people on here really lilke for video) also has a bookmarking capability, and it's $30.
The $20 deluxe version of PocketMusic 5.0 can bookmark; there's a free version that plays just mp3s, but I don't know if it can bookmark. It is put out by PocketMind.
If someone around here can compile a dot net C# program - there's code for an application at
http://www.codeproject.com/KB/audio-...abcPlayer.aspx. It was written by someone who wanted something specifically for listening to audio books. It looks promising, and the code is freely available for use. I can download and post the zip file of code here - I just can't remember my password to codeproject at the moment. I'm interested in trying this one - but I don't have a way to compile the code.
Hope this helps some.