The I/O shield is the part of the case that surrounds the mouse/keyboard ports, serial ports, parrallel port, usb ports, and posibly others....hence the reason for different ones. Different motherboards sometimes have these ports in different arrangments or with different feature sets. Some have built in sound, some don't. The same goes for ethernet etc...
If you want to see some of the possibilites available for I/O shields you can look
here. Most often you will encounter the I/O-103, the Intel Universal.