What is a good portable mp3 player for podcasts and audio books.

I currently have a Sansa Clip. I am having trouble with the volume. It is okay in a quiet room, but not much good outside or in a gym. I checked the Web for a way of fixing it, but it did not work. I am looking for a new player. What I am looking for is something that is easy to use, does not lose my place in a book when turned off and has multiple volume settings. I am not sure about the various iPods, because they seem to require going to the iTunes site.