Audiobooks have different file formats. If you buy from ITMS you get .m4b, and from Audible.com you get .aa. You can find tips on how too convert mp3s to bookmarkable files here and here.
A little tip for playing audiobooks on iPod Shuffle: I put it on top on my playlist and autofill the rest. I put it on shuffle to play music, and when I want to play the audiobook i put the switch on the back to continous play, and hit the play button 3 times to go to the top of the playlist.
Books from Audible get bookmarked 15 seconds before the point you stopped, books from iTunes in the same point. There seems to be a minor bug in the syncing of bookmarks between iTunes and iPS, sometimes it gets reverted to the previous one.