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.
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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.
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There are lots of books on the bookshelf.
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