I would think it's better outside the blog module, even if your site doesn't include the blog module you may still want to use that shortcode. Things like shortcodes are weird, too small for being a module, not a widget. I think the best option could be to have a repo of shortcodes perhaps (like our recipes - https://github.com/silverstripe-labs/silverstripe-recipes)
The issue is that the shortcodes (the way described by ssbits) are working in pages, but not in blogentries.
So, i am wondering.
Well blog entries *are* pages so it should work fine. Unless you're using BBCode for your blog - which in that case I recommend not using BBCode as it's so much more annoying compared to HTML.