If it's the brand-new one, get to an Apple Store right away-- it shouldn't behave that way.
If it's a first-generation Shuffle, it will depend on how often it's been used. Rechargeables have a finite number of recharge/discharge cycles, and if your Shuffle has seen a lot of use it could be fading.
My suggestions would be to (a) Run the Software Updater on it just to reset everything; and (b) try a different port on your computer (if that's how you're charging it).
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