Paul Thurrott asked the company when support would be coming, and received this relatively encouraging answer.
I understand that you are interesting in using the Windows Phone 7 with your Audible Content. I do apologize for the inconvenience but the Windows Phone 7 is currently not supported by Audible so the Audible files will not play on this device. There is no work around to transfer Audible files onto this device and no announced plans about when the device will be supported.
To make a device compatible with the .aa format means supporting our encryption, this protects the publisherâ€™s copyrights as well as implementing key usability features, such as section navigation and resume playback. Although previous devices were supported by Audible, their has been alterations to the Windows 7 that does not allow the old Audible Air application to be updated easily and translated for the new OS.
Since this is the case, we are currently designing a new App for this phone and hope it will be available sooner than later.
While native support would have been ideal (especially in terms of enabling background playback) an application can actually be better in some ways, with the ability for example to purchase directly from the device, unlike on the iPhone for example.
Audible support would be another key service which would reduce to cost of switching to a Windows phone 7 device and make it an increasingly viable solution for other smartphone users.