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Some of the best shields are:

Wee Wee's Super Booster: High Capacity, Invisble Effects of Health Bonus (Usually Small) and Health Regen (Quick)
Muscleman/Macho Shields: 40-60% Health Bonus (Can be found up to 1440 capacity w/ 60% Health Bonus)

You can get a very high level Wee Wee shield by waiting to kill him until after you've completed plathrough 2. This will guarantee that the shield he drops is LVL 48, giving it the highest attributes. In reality, any shield with over 1400 points is fairly decent, with Health Regen shields and Health Bonus shields being the most commonly used.

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