Expenses on Sched C. Zero revenues. Gains/losses on Sched D for equities and 6781 for futures (there are other ways of doing it). See IRS's Pub 550.
You must elect M2M by April 15th of the tax year that you want to start using it. So, it is too late to claim M2M for tax year 2005 returns, but if you file by April 15th of this year, you can claim on your 2006 return.