You could make your own environment that works on a counter. It allows you freedom to manage the formatting of the problem typesetting as well. Here's an example:
\documentclass{book}
\usepackage{lipsum}% http://ctan.org/pkg/lipsum
\newcounter{problem}
\newenvironment{problem}{%
\refstepcounter{problem}% For correct referencing
\textbf{Problem~\theproblem.}\
}{\par}
\begin{document}
\chapter{First chapter} \lipsum[1]
\section{first section} \lipsum[2]
\begin{problem}
Here is a very interesting problem that you can do. \label{problem1}
\end{problem}
\lipsum[3]
\section{Second section} \lipsum[4]
\begin{problem}
Wow, have you seen this problem? \label{problem2}
\end{problem}
\section{Last section} \lipsum[5]
\begin{problem}
This is the final problem of the book. It is actually much harder than
Problems~\ref{problem1} and~\ref{problem2} combined.
\end{problem}
\lipsum[7]
\end{document}
The lipsum package provides dummy text used to fill the "book". In the above example, the problem is typeset as a paragraph in the form:
Problem 1. blah blah blah
...
Problem 2. blah blah blah
...
Since the counter is not tied to any other counter, it runs through the book without resetting. Referencing is also possible using labels in the traditional way.

answerspackage: http://www.ctan.org/pkg/answers – cmhughes Sep 12 '11 at 04:26