A shockleader is a heavy length of line tied to the end of your main line (google 'improved allbright knot') for when you need to cast heavy weights a long way. Mostly used in sea fishing for beach casting, especially the pendulum cast. however, these days it is also used in long range carping, when using a method feeder, or when casting very heavy leads on the big barbel rivers such as the trent.
The idea is that you wind on enough shock leader to go around the reel at least four times plus the length of the rod and the drop down for the cast (distance between lead and rod tip when getting ready to cast). This ensures that during the cast the initial 'shock' on the line, caused by the stress of suddenly coming under huge tension during a powerfull cast, is absorbed entirely by this heavy line and therefore doesn't snap your comparatively weak mainline. If you tried to power cast a heavy method feeder or grip lead on your normal strength mainline it would snap during the cast.
The strength of shock leader used for beach casting and pendulum casting should be 10lbs for every ounce of lead used plus an extra 10lbs. Indeed I have snapped a 30lb mainline when pendulum casting 5oz so a shockleader is a must for distance fishing.
There are many commercially available shockleaders, I can recommend greased weasel (drennan i think) as a good one, however any bulk spool of high strength line will do, there are also tapered shockleaders available designed to give a much smaller join knot.
In a coarse fishing sense I wouldn't use a shockleader for anything under 4oz really, (and then it would be much lighter than the sea fishing rule above) unless you are using a very light mainline, anything over 10lbs and you won't require a shockleader untill you are casting 4oz really, and only then when trying to really blast it.
So a shockleader is only required when casting long distances, or casting very heavy weights (such as a spod or method feeder) a reasonable distance.
Hope that helps.