The freely available dumps to SHP are not up -to-date or have insufficient details and my several efforts to produce an SHP myself have failed. I'd like to be able to produce a shp dump that contains only selected "layer" for given country.
Also, Geofabrik.de will export it for you for a fee.
Converting OSM -> SHP should be relatively similar to other formats, and there are a good number of tutorials out there for using OGR. Here's their page on OSM: http://www.gdal.org/ogr/drv_osm.html