I think the problem is that audio books under itunes come from audiable, and not from apple. I'm not sure but I think the bookmark is contained within the file itself, hence the need for the .m4b instead of m4a.
If you are a mac user there are some applescripts
to do the magic for you.
But, it appears that in at least newer versions of iTunes (I'm using 7.1 on a mac) there is a checkbox to "Remember Playback Position". Get info on the AAC file (must be AAC, not MP3) and then go into "options".
Another useful option is the ability to skip the file while on shuffle. This means you don't get audiobooks mixed up with music, and ensures that you don't accidentally have shuffle active when listening to audiobooks.
Of course I havent tested this under windows, so sorry to those folk. If you try it and it works please post and let everyone know.