Shield
Given to you at the beginning of the game. This shield is ineffective against most projectiles.
Iron Shield
Can be bought at any time for 100 gol at the Raejack shop next to the blacksmith. This shield can block arrows.
Magic Shield
Found in a chest within the Aqua Temple. This shield will let you block the magic projectiles, as well as arrows.
Fire Shield
Talk to the man in the far northeast corner of Jim's Shack once you have the Magic Shield, he'll request a Ruby. Proceed to walk along the narrow path between the cliff and the lava to the west of the Flame Temple until you reach a pinkish rock. Say "Yes" when the message pops and you will recieve a Fire Ruby. Take this back to Jim's Shack and exchange it for the Flame Shield. With the Fire Shield you can also block fireballs.
Bolt Shield
After obtaining the Fire Shield, talk to the inventor Dic in the northeast house of Raejack. Pay him 1000 gol then stay at the inn and talk to him again to receive the Bolt Shield. This shield can block lightning strikes.
Hero Shield
After obtaining the Bolt Shield, enter the cave just west of the Dark Tower. If you reach the end, which requires a colored key of every color, a man will give you the Hero Shield in exchange for the Lighting Shield. This shield can block ALL projectiles.