What is a shield ?
Shields are boards that can be plugged on top of the Arduino PCB to extend its capabilities, they can be stacked one on top of the other.
It is possible to stack multiple shields although I think the constructor of the following example has taken the stacking concept to the extreme.
Shields are usually fairly simple designs and are generally Open Source with their designs freely published. There are a few more sophisticated shields including an Inertial Measurement Unit with a build in 6 DOF gyro for use as part of an autopilot in a model plane.
Where do you find a shield ?
There is a list of shields with details of their connections and basic specification here ( http://shieldlist.org/) as well as a slightly less comprehensive list on the Arduino website ( http://www.arduino.cc/en/Main/ArduinoShields )