The Shenmue website was recently relaunched (the english portion was launched just last month). I can only see this as a good indicator part three is on the way. I mean, why bother revamping the website for shenmue II, as it's already a couple of years old by now.
Also, this guy has accumulated a good deal of evidence that points to its development.
~Shin Ishikawa~The series continues because of very strong fan requests. The fans want them, so we make them. We can't say yet when the sequels will be released, but we will do our best to not let the fans down. So, I would like to say to the fans: please look forward to more Shen Mue games on Xbox.