Do you use automatic syncing (the Sync Music checkbox on the iPod's Music settings screen in iTunes)? Or do you have it set for Manually manage music [and videos] (on the iPod's Summary settings screen in iTunes)? If you use the manual method to load songs on the iPod, iTunes is not keeping your iTunes library "in sync" with the iPod. Therefore, the libraries on the iPod and in iTunes are separate (not linked). Things like play count and last played may not sync from iPod to the computer.
If you have it set to use automatic syncing, then iTunes is responsible for syncing that data between iPod and iTunes library. You should see your iTunes library updated with changes you make on the iPod, like song rating, play count, etc, when you sync