The files are all standard MP3's so can be played using any media software. Unlike audible, they are released as chapters so you don't need to split them yourself.

The latest versions of Canola (from Beta 6 onwards) are supposed to offer a resume from previous position option, but I haven't tried it myself as the lack of a "download all new podcasts" option means downloading my daily podcast collection takes too long. It also tends to crash during downloading.

For playback I tend to use MediaBox as media is arranged by directory rather than mp3 tags. It also offers the kinetic scrolling found in Canola but in a much lighter and snappier package. Otherwise I just use the standard media player.

Another site worth a look is http://escapepod.org. This is a science fiction short story podcast with a new story each week. There are almost 150 stories in the archive. If you prefer horror they have a sister website http://pseudopod.org and from April there will be a dedicated fantasy site http://podcastle.org