a player that remembers where i was?

does anyone know of an mp3 player that will remember where i stopped with a number of different files? i listen to several different audio books at any one time and would very much like to find a player which would remember where i was up to with each individual file, like my digibox does, or at least have a functional fast forward/rewind. i'm currently using the philips go gear player which does not help with either of these requirements. many thanks.

Any ipod? Zunes do as-well. Not to sure about any-other players think any creative one would as-well.