Well here's a handy little tool: Speedshifter, a freebie from the ABRSM website, enables you to slow down that tricky section you're trying to learn from a CD or MP3, so that you can tackle it at a speed that suits you.  The great bonus is that the pitch is not affected.  The tool was designed with practice CDs for instrumentalists in mind, so if you know of someone studying for a grade, you might like to share this with them!

Of course, as soon as I start to search on the terms change+speed+audio, I am presented with a plethora of freely available software. For example,  MP3 Cutter & MP3 Joiner offers not only an MP3 speed changer and a cutter/joiner tool, but also a karaoke tool that will strip out the human-voice element of an MP3 recording, so that you can create your own karaoke files!   Please note that commercial use of these tools is strictly prohibited. 

Incidentally, also available from the ABRSM website is an Aural Trainer App for iPhone, iPod touch and iPad (requires iOS 4.2 or later). This comes in various flavours, including a free vanilla one.  I think the most expensive is the £4.99 one that covers grades 1 to 5.

Have fun!