It kind of depends on what you read the books with, and whether or not you sync that reader's settings.
calibre's E-Book Viewer will store the bookmarks and last page read inside EPUBs, as well as in %APPDATA%\calibre\iterator.pickle
Other applications (for instance, your Android ereader app) will store the history in their own settings store, and they aren't even compatible with calibre -- nor are they being synced with your library.