Shelving is a way of saving all of the changes on your box without checking in. The changes are persisted on the server. At any later time you or any of your team-mates can "unshelve" them back onto any one of your machines.
It's also great for review purposes. On my team for a check in we shelve up our changes and send out an email with the change description and name of the changeset. People on the team can then view the changeset and give feedback.
FYI: The best way to review a shelveset is with the following command
tfpt review /shelveset:shelvesetName;userName
tfpt is a part of the Team Foundation Power Tools