What's up with bash shell and spaces in filenames?

[Alan Evans]

This is an on-again-off-again kind of problem. It usually hits me when
it is least convenient, like when I only have shell access to the
machine. Example:

[alan at agena ~]$ cd /media/My\ Book/
bash: cd: /media/My: No such file or directory
[alan at agena ~]$ cd "/media/My Book/"
bash: cd: /media/My: No such file or directory
[alan at agena ~]$ Gaaah!
bash: Gaaah!: command not found

What's up with that? Usually it is no trouble, but occasionally, bash
refuses to deal with spaces. I don't even know what to do in this
case.