It will, of course, depend on the abilities of the player used.
Personally, I like small single chapter files. I rename the files, if neccessary, so that the list in play order when listing alphanumerically by filename, often adding a short form of the book's title as a prefix. I'll stuff them into an appropriately named folder in my archived library, sometimes ZIPping them to make them easier to handle.
When sending them to my player, I send them as loose files. When sending multiple books or podcasts to my player, I'll prefix the filenames with some alphanumeric string so they sort in the order in which I wish them to play.
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