Is this on one particular site or all sites?

Some sites may use a framed design where the "outer" page doesn't change but the "inner" page changes. Firefox might not record the addresses of framed pages in history.

To check on whether the real content is in a frame, try right-clicking (or Ctrl+clicking) the page and look for "This Frame" on the context menu. If you find that, hover it and try opening the framed page in a new tab. This should show the true page address, and having it open by itself should facilitate Firefox adding the page to history.

Note: some pages cannot be loaded that way -- they contain a script which will immediately reload in a frame.

If this happens on all sites, hmm, that would be very odd!

Also, could you explain the bookmark problem in more detail?