Previously I carried a Palm TX (a TH from Sony before that…) which I enjoyed using to listen to Audio books. I would load up the memory cards so I could play while flying or during slow parts of the day. At the time, it was almost exclusively providing the content. 

Audio Books should be thought of as the reading of text. Many people enjoy listening to a book rather than hauling the paper version around. Audio versions of books do lock in a amount of time to get through a book compared to print which you can skim when looking for particular parts of interest. Screens on the Palms and iPhone / Touch make it less than optimal for reading digital print versions of books so Audio just naturally fit the device’s strengths.

Depending on the provider, the audio files can be in just about any file format, the most popular being MP3. The iTunes store usually distributes MP4 since they know you will be listening on some sort of iPod device. 

Currently, you have several options,