If you burn an audio CD with each chapter as a track, the CD starts at track 1 (Chapter 1) and the user can skip to the next track on any CD player.
None of the formats Audacity exports support bookmarking. The Apple M4B and Audible AA audio book formats support bookmarking.
Some players including iTunes can remember where the user last left off in any kind of file supported by the player. Not all players can do this with arbitrary common formats like M4A or MP3.
Most text-based book formats such as EPUB support bookmarking.
Gale