Shading is a term that refers to how a 3D object is lit. Lighting an object is used to highlight the depth and shape of an object, and for such a simple effect it adds a lot to the realism of the 3D scene.
There are a number of different ways to light an object, each achieving a different effect, and each having its own performance cost. Generally speaking the more realistic the lighting effect it, the more expensive it is to calculate. This is an important consideration when making 3D Flash and JavaScript applications, because they do not have the ability to utilize the underlying 3D graphics hardware that has become so prevalent today.