Douglas Cole over at Gaming Ballistic suggested that a few do a coordinated series of posts on the same subject. In addition to what's below:
Mark Langsdorf talks DF Knights over at No School Grognard.
Jason Packer discusses two-handed weapons at RPG Snob.
and Doug talks getting past shields at Gaming Ballistic.
Welcome to the Melee Academy.
Should you use a shield in GURPS?
Maybe. Probably yes. Most low-tech combatants chose shields in most circumstances. So you should, too.
There, that was helpful.
How about we put it another way - what do you lose by not using a shield, and what do you gain by not using a shield?
What do you give up when you ditch the shield?
Without a shield, you have some problems that shield users do not.
Missile weapons - thrown weapons can be Parried (albeit at a small penalty) or Dodged, but missile weapons can only be Blocked or Dodged. No shield? No Block. You must Dodge, and you must make the roll. Retreat doesn't help, you need to Dodge and Drop for your +3. Missile weapon users know this, and may preferentially shoot at you because you're less able to defend - and even if you do, the Dodged attack keeps on going and limits your utility as a meat shield.
Shield Rush/Shield Bash - You give up a couple of attacks here. You can't whack someone with the shield for straight-up damage (and damage that's hard to Parry, because a shield can be a pretty heavy weapon if it's big enough.) Not a big deal if you've got a big weapon or two weapons, perhaps. But the lack of Shield Rush means you're giving up a pretty good slam bonus (and taking your slam damage to your shield, as well.)
Kiss your DB goodbye. - Using a shield gives you 1-3 DB, depending on its size. A +1 to +3 to all of your defenses in your front arc plus your shield side = much better defenses. Knocking off that bonus costs an opponent 2-6 points of skill worth of Deceptive Attacks. You don't get this. Your defenses are whatever your skill provides, a +1 or +3 for Retreat, and not much else.
What do you get by giving up a shield?
Ditch that shield. It's dead weight on your arm. What do you get back?
Less encumbrance, probably. Only the very lightest of man-sized shields are as light as most weapons - 2 pounds for a Light shield. Even a Small shield is 8 pounds, which is more than a greatsword and its sheath. It's as much as a fantasy-sized greataxe, and almost as much as some full-sized polearms. Low-Tech has some lighter ones, but still, none are especially light.
An extra hand for second weapon. And thus, a second parry. Nevermind you can now Dual-Weapon Attack potentially with one skill (you can do it with a shield, but that's a second skill). You now can have weapon variety, and even reach variety - the rapier-and-dagger, double sticks, the long-and-short sword (katana and wakizashi, say), a second nunchaku, whatever. Either way, you have two Parries and thus your multiple parry penalties cascade from two different weapons. You can now cross-parry or do a supported parry if you go empty hand. You're no longer (as) vulnerable to crowding in close-combat.
An extra hand for a two-handed weapon. Now you can hold your weapon in two hands. Except for fencing weapons, very few one-handed weapons give you Reach 2. Most two-handed weapons do, however. You can now use distance against a foe and counter those who seek to use distance against you. With the right two-handed weapon, your multiple parry cascade is cut in half (quartered with Weapon Master.) And you get a bit more damage, generally, although there are a few hefty one-handed weapons that do as much damage as two-handers.
You save some points. You don't need to buy the Shield skill if you don't use a Shield. You can spend those points on a secondary weapon or unarmed combat skill, which you can use in your off-hand, perhaps. And with a two-handed weapon, you simply can plow all of those points from shield into your weapon skill, and be much better at it than the shield-and-sword guy is at either of his weapons.
So that's the question - that's what you gain and lose without a shield. If you feel like you can live with those costs and enjoy those benefits, get out from behind that slab on your arm and bring your second hand to the fight. If you're thinking about going shieldless and those things don't sound so good, considered yourself warned, strap your shield on your arm, and head into battle.
Historical Note: Curiously, in the earliest days of GURPS, in Man-to-Man, shields got Skill/2 based defenses like weapons, but it was deemed too good, so the published version had Skill/3. So you saw Block 12 or 15 a lot, rarely an 18, and rarely was it better than Dodging. So it got changed back, and shields are all the more useful for the change back. Skill/3 was just brutal, and on low-point guys it was rarely worth even learning how to use it; just hang it on your arm for what was then PD and hope it helped. True story. Of course, now someone's going to read this and think it's a great idea. Actual Play-based opinion: no, it wasn't.