On OSX Mavericks:
Make your shell script executable:
chmod +x your-shell-script.sh
Rename your script to have a .app
suffix:
mv your-shell-script.sh your-shell-script.app
Rename your script back to a .sh
suffix:
mv your-shell-script.app your-shell-script.sh
Now when you click on the script in the dock, A terminal window will pop up and execute your script.
Bonus: To get the terminal to close when your script has completed, add exit 0
to the end and change the terminal settings to "close the shell if exited cleanly" like it says to do in this SO answer.