I am using the Ambling BookPlayer which is available on the Android Market. It lets you play many audio files as a single audiobook which it treats just like it was a single audio file for playing and bookmarking. It has a bookmarking history that remembers the locations where you start and stop listening, and has redo and undo keys that let you go back to any of your previous positions so you can't lose your place. There is a free version called Ambling BookPlayer Lite and it supports downloading free audiobooks from the librivox.org site. You can find more information about the player and the differences between the different versions at
Ambling BookPlayer - Bringing books to life