Shoulder press machine
This one's pretty self-explanatory: have a seat, adjust the weight stack, and press over your head. Great if you're just getting started.
Standing with your feet shoulder-width apart, grip the middle of a barbell with your palms facing in, raise the bar to your chin and lower it. Make sure that your back stays straight and that your knees remain relaxed.
Holding a dumbbell in each hand, stand with your feet shoulder-width apart, your arms by your sides and your palms facing in. Keeping your torso solid, raise your shoulders a few inches toward your ears, as if you were saying "I don't know," and lower them.
Bent-over lateral raise
Stand with your feet shoulder-width apart and bend over at the waist, holding a dumbbell in each hand so that your upper body is parallel to the floor, with your arms hanging in front of your body, palms facing each other. Making sure not to lock your elbows, raise your arms to your sides until your elbows and hands are in line with your shoulders (like you are trying to fly) and lower them.
Three-way shoulder press
Holding a dumbbell in each hand, stand with your feet shoulder-width apart and your arms bent at a 90° angle by your sides, so that your fists are out in front of you. Keeping the 90° bend in your elbows, raise your upper arms so that they form a "T" with your torso and your palms end up facing down. Keeping your arms raised and the 90° bend in your elbows, rotate your shoulders backward so that your hands end up above your shoulders, with your palms facing away from you. Then, press the dumbbells over your head and lower them. Retrace your steps by rotating your shoulders forward, until your palms end up parallel to the floor, and bring your elbows back to your sides.
Sitting on a flat bench with your back straight and your feet on the floor, hold a dumbbell in each hand, keeping your arms bent and your palms turned toward your face. Rotate your shoulders backward while raising and opening your arms -- turning your fists away from you -- and press the dumbbells over your head, in a smooth and controlled motion. Lower the dumbbells, returning to starting position.
Pick up a couple of dumbbells and stand with your feet shoulder-width apart, arms down by your sides and palms facing in. Making sure not to lock your elbows, raise your arms no higher than your shoulders. Make sure that the movement originates in your shoulders and that your torso remains strong and still.
Front-side lateral raise
Standing with your feet shoulder-width apart -- with your arms straight down the front of your body, palms facing in, and holding a dumbbell in each hand -- raise your arms to shoulder height in front of you, so that your arms and chest form a 90° angle. Keeping your arms raised and your palms facing down, open your arms so that they form a "T" with your torso, then slowly lower them to your sides. Retrace your steps by doing a lateral raise, bringing your arms back in front of you and slowly lowering them so that you are back in your starting position, with your arms straight down the front of your body, palms facing in.
Stand with your feet shoulder-width apart, knees relaxed, and grasp a barbell with your palms facing in, hands shoulder-width apart. Bend your arms so that your palms are facing away from you and your hands are at shoulder height. Press the barbell over your head and lower it.
I'm a big fan of pushups as they work your shoulders, chest, back, and abs at once. Perform them with your fingers pointing out at a 45° angle, make sure that you keep your back straight as a board, and go all the way down.