Shields are boards that can be plugged on top of the Arduino PCB extending its capabilities. The different shields follow the same philosophy as the original toolkit: they are easy to mount, and cheap to produce.
The Arduino Xbee shield allows multiple Arduino boards to communicate wirelessly over distances up to 100 feet (indoors) or 300 feet (outdoors) using the Maxstream Xbee Zigbee module. details
The Arduino Motor shield allows you to control DC motors and read encoders. details
For more shields, see this list on the playground.
If you'd like to make your own shield, you may want to start with the Eagle files for an existing shield. Note that the space between pins 7 and 8 is not the standard 0.1".