It's definitely not "at". You use "on". (I'm thinking of a single shelf here, by the way.) "In" is possible if it's a bookcase - ie. several shelves - and not a single shelf.

Use "on". "At" is a destination, and "in" is usually used when you're able to close up whatever is holding the item. For example: IN a box. This is because you can close a box. ON a table. You cannot typically close a table.

There are lots of books on the bookshelf.