Why not add a 'To next bookmark' option for 'Skip length'?
If it didn't find a bookmark in the chosen direction, I suppose the logical thing to do would be to skip to the beginning / end of the track.
It would be useful for indexing lectures and long podcasts, among other things.
It would also be nice, perhaps, if there were an icon that appeared in the information bar thing when you were playing through a bookmark, and an option to delete the one you're over (or perhaps the last one you played through) in the context menu.