Measurements of reversible magnetization have been performed on high quality MgB2 single crystals using torque magnetometry combined with the 'vortex shaking' technique. At high temperatures above 26 K, a step like decrease in the magnetization curve is observed at Hm with and without shaking. This anomaly can be ascribed to the first order vortex lattice melting transition. At low temperature below 25 K, where the irreversible magnetization curve reveals the peak effect, we succeed in suppressing the hysteresis completely by shaking and observing the clear step in the reversible magnetization curve at the field H* for the peak effect. The entropy change, estimated from the step of the reversible magnetization at Hm is 2-3 times larger than that at H*.