I used to work on novel shielding designs. There's some pretty interesting stuff out there but in the vast majority of situations it is just cheaper and easier to pour more concrete.

To add to acidburn's comment, material choice is also highly dependent on the energy levels and particle types. At high energies you basically just maximize mass. At lower energies (more typical for reactors) you can start taking advantage of atomic cross-sections and electromagnetism. That's why they like borated concrete, high neutron cross-section, but only really effective for "thermal neutrons".