I JUST got my Fuze but from a quick run through ... if it is something you have ripped yourself from CD's all you need to worry about is that the genre=Audiobooks. Then the Fuze will show the files in the Music|Audiobooks menu selection. For things like Netlibrary the same applies really, and those usually are already set as genre=Audiobook. I tested on to make sure auto-bookmarking worked (it does, I had to exchange from a View because it didn't) and it too just showed up in the Music|Audiobooks menu.
Format ... well mine were mp3 (rips) and wmv (netlibrary with DRM). I suspect any format that is supported by the Fuze will work.