Alright, I got curious regarding the Shuffle and went to Apple's website. According to the Shuffle user guide, there is a switch on the Shuffle that you can use to choose either shuffle mode or continuous play. In my opinion, the Shuffle still is less than ideal for listening to audio books--too difficult to find your place in if you lose it!
And Bob you are right--audible files generally come in 1-3 large (4-7 hour) files. I buy mostly unabridged books from them, and they usually end up being 2 files, although I have had some that are only one file and a few that are three.
dordale