shortcodes always appear on the top of the post

I am trying to create some plug-ins which use shortcodes to insert some dynamic content on certain pages on my site. The weird thing is, even when I put the shortcode on the bottom of the post, it always appears on above the other text in the post. I tried surrounding the shortcode with <div></div> and that didn’t work.

Am I doing something wrong? I read the shortcode API page and can’t seem to find any reference to how to control where in a post it appears.