I have noticed no difference at all in long term retention at different speeds, provided that I understood what was being said initially. In the short term, I find that double speed typically enhances my ability to follow what is being said. I liberally use "jump back" to re-hear and "pause" to mull over something if I find myself wanting to.

I am sure there are programs for the major platforms (PC, Mac, Linux) that can double speed but I use an iPhone/iPod function which doubles playback speed without changing pitch (so it sounds like a human, not like a chipmunk).

There is one major drawback with audio, and that is that I can't highlight. I rely heavily on highlights and notes to retain the contents. However, lack of highlights obviously applies to all audio, not just double speed.