The archives shortcode is a little limited due to the fact that it was created from functions that already exist in WordPress. If you choose monthly, it will show year and month, but will not show titles. Basically this option is just like what you see in the archive widget.
If you use [archive] then you get a list of posts by title. You can see a sample of that here on one of my blogs here: http://opposablethumbz.wordpress.com/post-index/ . I used the option html to give me a bulleted, unordered list.
I'm hoping at some point this shortcode will be updated and expanded to have more capability, such as being able to use date ranges and perhaps lists of post by year/month, as you are wanting, with titles. I'm also hoping that in that expansion, they can give us the ability to do it by category if we wish.