Nokia Beta Labs has a cool application that will convert audiobook WAV or MP3 files to something that works with their S60 audiobook player. It's available here.
Each file is treated as a chapter and the filename is used as the chapter's title. No support for ID3 tags. You'll need to remember this because the title doesn't scroll. So if each filename begins with the author and book title, you won't be able to tell the difference between chapters.
The nice thing about using this application as opposed to the normal mediaplayer is that it treats all the files as one book. It remembers the last played chapter and position. You can even set arbitrary bookmarks. There are some nice keyboard shortcuts to jump forward or backwards one minute. Much nicer than trying to fast forward/rewind though something.
If you've been trying to use the normal mediaplayer to listen to audiobooks, you understand the frustration. The Nokia audiobook application will be a dream come true.