A shock is simply an abrupt change in the properties of a medium. In the ISM, shocks can originate from supernovae and other violent events, or from the interactions of stellar winds with the surrounding material. This second kind of shock is called a bow shock. In the Orion Nebula, many stars have prominent bow shocks, like the star pictured below. Another example of a bow shock can be seen by the star zeta ophiuchi.
For more details about shocks in the ISM, check out the module by Philip Mocz, which can be found here.