Sometimes chapter marks in audio files would be helpful, but I don't know of any format that provides such a thing. The best we can do is multiple MP3s kept in order by name.
I'm thinking mostly of audio books or long podcasts here.
Not too long ago I heard of someone, probably in the music industry, working on a new audio format designed to be a replacement for whole albums, including cover art and liner notes along with multiple tracks inside. I don't see it taking off after the world has so long embraced MP3, but that's close to what I mean.
Mokalus of Borg
PS - The multi-track format is CMX.
PPS - iTunes has a similar "iTunes LP" format.