I've been down the Sony mp3 player route with small speaker or headphones.
Now I've got a King's Audio Sonic mp3 usb stick player which can bookmark up to 4 different usb sticks.
Its only 160mm long by 60mm high and 60mm deep.
Designed for blind and partially sighted but great for everyones use.
Can be used on mains or with its internal rechargeable battery.
I download library audiobooks onto the usb stick or convert my cd audiobooks to mp3.
Its about £40 for sighted people but VAT free for blind/partially sighted folks.
As a bonus its got bluetooth, so can be used as a speaker to a bluetooth device.
Rob