I used to use Pocket tunes with my palm to listen to my audiobooks. I loved the fact that it held your place and remembered what song (or mp3 file) you were playing the last time you exited the program. That's kind of important when you don't want to hear the same chapter over and over again and you do have to interrupt your listening when the phone rings or something.
TCPMP works great. It supports almost all formats and as long as you don't close it out of memory it will hold your place. Just search the forums for the site :)