I buy audiobooks from Audible, not iTunes, but they probably work similarly: no need to bookmark; it just picks up where you left off. If it doesn't keep its place, I've read that an app called Bookmark works well.
I've not bothered, though, because Audible audiobooks work really well. I listen to them on iPad, iPhone and iPod touch, and you can load them on many other devices easily, including other MP3 players and GPS devices with an MP3 feature. The Audible app (free) also comes with bookmarking, sleep timer and more. Love it.