Turkish demonstratives have three-way distance contrast whereas English has a two-way one. The difference stems from that point. Simply, we can say 'bu' is 'this'. 'Şu' and 'o' are like subcategories of 'that'. You would ise 'şu' for ones not as close as to be called 'bu' but still somewhat close. And 'o' would be used for farther ones.