Think of a voltage regulator as a potential divider, where the regulator constantly adjusts one of the resistors in the potential divider to maintain the desired output voltage.
A shunt regulator is like a precision Zener diode. It is used in place of the resistor to ground in the voltage divider. The other resistor (between it and the power supply) must be provided externally. The regulator works by shunting excess current through itself, so that the voltage drop across the external resistor is exactly the right amount to reduce the supply voltage to the voltage required.
A series regulator goes in place of the upper resistor in the potential divider. The load takes the place of the lower resistor. The series regulator also needs a ground connection to monitor the output voltage. The regulator works by adjusting the current flow through itself to give the desired output voltage.
So a shunt regulator wastes power by shunting excess current to ground, while a series regulator wastes less power by only letting through the current required. That is why these days, shunt regulators are only used for voltage references and similar very low current applications.