I use both of these readers:
http://www.ereader.com/ereader/software/browse.htm
http://www.microsoft.com/Reader/downloads/
I usually use the Microsoft one to convert my own files to eBooks using either the MS Word plug-in (WordRMR.exe) or the free version of ReaderWorks software. I use eReader for anything that I purchase from eReader's or Fictionwise's websites. Both readers are free and I know Fictionwise's website has a few free e-books in each format that you can use to test the programs out, even if you don't find anything free that you're actually interested in reading. I'm sure there's a way to make your own eReader books too, but I've been using MS Reader since my first PDA, so I that's what I'm most familiar with. Either of those should remember your place between uses without having to set bookmarks. Touch the top or bottom of the screen in eReader to page up or down in your book (or you can set it to continuously scroll for you if you'd prefer). That wasn't obvious to me the first time I tried it so, maybe that will give you an easier start.