What does "shocking" food do?

"Shocking" the food stops the cooking process, preventing the food from losing its color and texture.

The problem with throwing something in boiling water is that it's still hot when you take it out. The big lesson is that whenever you cook something with heat, even when the oven/stove/grill/pot/water is turned off the food is still being cooked. This is why when cooking meat it's a good policy to assume that it will rise a few degrees during resting.

The problem with vegetables is that they already have a short cooking time to begin with. Also, unlike meat, when we overcook a vegetable you lose more than just flavor and texture. You start losing the valuable vitamins and other healthy reasons why we eat those foods to begin with.

In addition to previous answers:

As 'Shocking' the food will cause a marked temperature difference between the outer layer of the food and the inside, you can use the difference in expansion/contraction for a useful effect. (re: boiled egg and removing the shell).

Also consider corn on the cob. By dropping the outside temperature, the cob will be easier to handle, pick up, and eat, but will continue to be heated from the inside heat. (Careful: it will probably get 'too hot' again if you try to eat too soon).