If it's an audio podcast you can change playback to 1/2x, 1x, or 2x I believe, just under the scrub bar.
You can't change playback speed of regular music/audio files or movies/videos.
Are they audio lectures you're listening to? If so are they showing up under "Music" or under "Podcasts"? If they are just showing up as Music then you can try going into iTunes on your computer, selecting those files, and changing the type to Podcast (I think you have to right-click, then click on info or something, and one of those tabs should let you select the media type). Once you do that those files should now show up as Podcasts in iTunes. Sync those to your iPhone, they should show up under Podcasts in the iPod player and you should be able to change speed now. Also, it will remember you're position if you pause part way through.
I'm sure there might be some 3rd party or jailbreak audio player that lets you do this but I haven't used any.