Well, I played with every kind of shields in the game for almost 3 years. Lets take a look...
If your shield has high body armour but low hit points like steel ones or elite cav shield etc, it is really nice against swords and arrows. But any axe can break it in really short time.
If your shield has low body armour but high hit point like heavy board shield and fur covered shield, it will stand long against axes but it will also take any kind of attack to its body like arrows and swords, too.
Well, lets think.
If you dont fight against axemen with your shield, you must use plate covered or steel one. I went to EU3 with Diagonal(he has 8ps and danish gs) for testing huscarl, steel and heavy board. When he hits huscarl, it standed for 10 hits; heavy board took 14 and steel took 27 hits until it was broken. Also we tested them with an axe. Against axe, the low class steel one, and then huscarl is mid, but heavy board standed much longer.
Well, if you want to play in servers that has not many player, you must use fast and high body armored shields. But if you want to play in EU1 or EU2 when they are crowded, then high hit pointed shields will save your ass to the end of the tour.
Also you can not get any hit to your legs if you use heavy board
As I said, crowded servers get you to heavy board or huscarl but others to elite cav, plate covered, steel or some knightly shields.
I tried to tell what I know about shields by my experience.
So, good luck
Note: If you want to try +3 heavy board shield, I can lend it to you for 2-3 days
Edit: I see some people talks about speed of the shield. I must say that I have one of the worst ping(75-100) in EU servers and play with heavy board. And if I would have ping like EU guys(30-50), you would call me God