I have just started using Mobiola xPlayer for mp3 audio books because it's the only free player I have found that will bookmark your place in a book.
I haven't found any way to play the wma, drm-protected, files from Overdrive or Netlibrary. However, both of those, at least with my library, are now offering several books in mp3 format. For the wma, drm-protected, books, I use a Creative Zen mp3 player. I sure wish I could play drm protected, wma files on my BB, but haven't found a way to do that yet.
I also use Audible.com on my BB for books that I really want to hear and am unable to download from my library, but those aren't free.