3D shapefiles are not that common, but sometimes they appear. The 3rd dimension value is stored inside the geometries and usually does not show in the table of attributes. As most of the GIS software does not handle the 3rd dimension it is then necessary to transfer this value from the geometries to the table of attributes. Databases like PostGIS and Spatialite together with Quantum GIS come to help.
The Spatialte way: