I don't know if it's different with a controller and a remote but it never remembers where I am no matter how I turn it off (press stop and then power off or just power off) and I don't think I own a single BluRay where I can go right to the menu and I have like 40-50 of them.
The real kick in the nuts are the ones that don't even let you skip the previews, they make you fast forward through them all. Then there are also really annoying ones like the Battlestar Galactica ones where the first disc of every season has the same intro by the director that you can't skip and since it also doesn't remember where you stopped you have to watch it every time.
-edit-
Also, I do admit that things like Lost that have season play work fine. I can start and stop those and the PS3 remember where I stop, other than season play, it doesn't remember where I stop my movies which is a giant pain in the ass.
Essay Pro