I use my PSP as an MP3 player because I can quickly switch to other things after listening to music. (i.e. play a quick game, watch a movie, etc.) It's probably not the ideal MP3 player though.
For the music, you can pause the song anywhere and put the PSP on sleep mode (not the same as turning it off). Turn it back on, choose the song and it'll be where it was left off.
As for the podcast, I'm not sure if it downloads it auto. but it has the option.
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