Question: Do you know any PDF reader which remembers the last page for each document? 

The usage scenario should be something like this:

* A new PDF file is loaded into the reader
* The PDF file is opened on page 0
* Reading, reading, reading ... Reading finished at page 37.
* Reader closed
...
* The same PDF file is loaded into the reader
* The PDF File is opened on page 37

I don't need multiple bookmarks. Just one is enough. Any tips?

Answer: 
[Evince](http://projects.gnome.org/evince/) does that...it's for Linux, but hey you never said anything about the OS: ;)
Since no OS is mentioned: Preview on Mac OS X does it by default.