Ok let's explain one more time here.
MP3 does not allow bookmarking features in itunes or on an ipod.
AAC does if you name the extension .m4b (think of b as in Book)
M4B files and AA (audible) files are the only bookmarkable audio formats supported by ipod/itunes.
reimport your audiobook as aac, copy the files from the library folder to your desktop (or a temp folder). rename them all with m4b as the file extension, remove the ones from your itunes library, then reimport the files with the extension change... i hope itunes 5.0 will allow you to import audiobooks better it'll make explaining this easier. personally i just use audible.. cheaper by far and much more convienent.