Well in my iPod (3G) they do, but i hadn’t upgraded the software to include the audiobook section.
I cannot speak for the audiobook menu item because I have yet to use it but I do have a bit of spoken word and audio books on my ipod, I just created a separate playlist (or 3) in itunes and then when i shuffle I make sure to select the playlist that has no “talkies” on it.
If i do a regular shuffle from the “all” playlist it does include the talkies.
Do you mean audible.com audiobook files? They do come up in the shuffle. But if you don’t want that, you can just create a playlist that includes everything except audiobooks and shuffle through that.
I find it extremely annoying that the shuffle option shuffles the entire ipod and not the playlist I was in. For that matter I find it extremely annoying that picking a song through any means other then the playlist(which can be upwards to a few hundred songs…) exits my damn playlist.