A lot of times though, a shockwave is just an artistic effect. Airbursts rarely produce noticeable shockwaves. If they do, they tend to be spherical and loose their uniformity over time. A surface blast produces a very visible shockwave. Sub-surface or underwater blasts sometimes produce a mix of the above effects.
Geometry tends to be the best tool for creating shockwaves.
One simple way to create shockwave is to use an animated sphere or torus radiating outwards. Sisyphus makes a freeware MAX plugin called Ringwave that consists of a procedural object that creates shockwaves. Using particles for shockwaves can be tricky. Again, it often requires high particle counts because the further the shockwave travels, the more apparent the gap between particles becomes. If there ever was a good reason to rent a cheesy action flick, looking for good explosion footage is one of them.