A standard audiobook in non-DRM Windows Media File or MP3 work great on my X5. Audible however is not so wonderful about their golden DRM audio books. The only way to get them to work is to bust the DRM using a host of cracking software. Better to get the mp3 file from the publisher and put it on the X5. Bookmarking is a snap with the X5 so you can return to the same point in the file you were at when you stopped. Also if you pause the X5 it will be at the same place when you return if you are going to start the audio book when you turn the X5 back on.
Audible really needs to make a DRM mp3 file like Rhapsody uses so we can use their files without having to crack them open and extract the meaty book from the crappy shell of an aa file.