I got it for Christmas, and playing it far too much, although I'm only on level 15. Also pissed off that I after learning the second shout, I went and killed at least 3 dragons, then learnt a new shout by going up to the highlands place I was told about, and the game told me I need a dragon soul to learn a new shout - I've got THREE!!
I had that to, cant remember if it was after a certain point in the quests when I could unlock them or realise that I wasn't clicking the actual shout in the main screen to unlock.
Loving my dragon scale amour as I'm a right sneaky bastard with a bow.