PDF reader with pdf library

Depends on the OS you are using. In Mac, Preview remembers the point at which you had previously closed the document and opens it up for you the next time you open it. Same is the case with document viewer in Ubuntu (linux)..

Adobe Reader has the ability to reopen individual documents at the page you finished off at. In Edit > Preferences... > Documents, select Restore last view settings when reopening documents. Foxit Reader has a similar feature.

If you are looking to keep track of your progress through multiple documents, then Mendeley may be useful. It can import documents into its library, and has a column for marking documents as read/unread - when a document is opened this automatically changes to "Marked as read". It can also add tags and notes to documents, and export references.