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I always run into this trouble when I compile latex files.  Here is the solution / reminder
P.S. dont forget to specify \bibliographystyle

http://forums.macnn.com/82/applications/88947/help-with-bibtex-and-texshop/

1. Put the citations in your .tex file in the form
\cite{<key>}. Papers you have not cited will not appear
in the bibliography.



2. Put \bibliography{<bibfilename>} in your .tex file
where you want the bibliography to appear. Make sure the .bib file is
somewhere that latex can find it, such as the same folder as the .tex
file.



3. Run latex then bibtex then latex then latex again, all on your .tex
file (actually you run bibtex on the .aux file, but texshop does this
for you).



Check the results.



For more details, see appendix B of the latex book, or chapter 13 of the latex companion.