my (PS3) blu-ray player never seems to remember where I left off either. My DVD player does, but I always have to go to scene selection or fast forward to get back to where it was.
I also don't like that they still have the previews all tacked on the front. The first round of discs I got didn't have any previews at all and I thought it was the greatest thing. At least all the ones I've rented you can just press skip on.