Please seek out a parenting class, book, videos, cds, etc. from a good source like Parenting with Love and Logic, or Parent Effectiveness Training. It will give you tons of information about child development, the differences between child thinking and adult thinking, and how to discipline and create consequences that are effective.
What consequences are there when things don't get done? They do know what they are supposed to do, but they only know that you want it done and that doesn't have real meaning to them other than knowing that you feel upset. You haven't created a situation where it is important to them to do it.
They do not think like adults. They do not have the same motivations. Keeping a house neat and clean means nothing to them. That is an abstract idea that they literally cannot process yet. Also, brushing their teeth so they won't get cavities is too abstract. And I guarantee they have no idea why jammies have to be worn.
It will be important to create an environment in which each thing you want done, in some way, becomes important for them to accomplish. If they don't put their shoes in the mud room what is the consequence? If the consequence is just you lecturing, preaching, talking, yelling, etc, this does not sufficiently effect your children (as you have clearly discovered). They will just tune you out. Have you thought of picking their shoes up and putting them in thier beds? Or maybe, if the weather permits, one time taking thier shoes and letting them go out in socks. Or maybe have a really ugly pair of shoes that they know that if they don't put thier shoes away they are going to have to wear instead.
Consequences sometimes require a great deal of creativity. That is one of the great things about mamapedia, the moms here can come up with some really great creative ideas for that type of thing.
It is important that you try and make the consequences as natural as possible, as closely related to the behavior, and are ones that you can live with. Keep in mind there is a difference between consequences and punishment. Punishment is just about making them feel bad. Consequences and discipline are about teaching them.
Also, think a little bit about the concept of "pick your battles." Often, we are expecting our children to be a particular way because of our needs and not theirs. Be really clear about what you are teaching your children about responsibility versus taking care of others emotions. Children can develop "I'm not good enough" really quickly if parents are constantly focused on what they aren't doing right in our world and that it is based on how upset the parent feels rather than real, concrete reasons. They are seperate little beings and they haven't learned all the things we have about neatness, organizing, and abstract ideas we, as adults, face out in the world. They really, truly cannot think that way. Their brains have not developed to that place yet and they haven't had the same experiences we have yet.