He is Twilight Sparkle's Big Brother Best Friend Forever which is sort of like being Caesare Borgia to Twilight's Lucrezia Borgia (HISTORY HUMOR!). Unfortunately, Shining lacks all of Caesare's charisma, decadence, genius, and bloody derring do. In fact, poor Shining Armor has the personality of a potato dressed up as a Disney prince.
Shining Armor is a white unicorn with blue hair. He was introduced out of fucking nowhere in the Season Two finale "A Canterlot Wedding," which was released as a companion piece to the royal wedding between a British prince and some bitch who is probably his first cousin. He has a royal guard uniform, since he was apparantly captain of the Canterlot garrison despite the fact that we had never heard of him before, and a snappy little lobster-back dress uniform.
Amongst his weaponry is a city-sized bubble shield that can only be broken by having a bunch of bugs bang their heads against it at the same time, a track coach whistle and baseball cap for when he watches actual athletes race, and the ability to TOSS HIS WIFE OFF OF A BALCONY. Obviously the last of these is quite formidable, and he used that badass superpower to save the day in the Season Three premier, "The Crystal Empire." Spike got the credit for it despite doing nothing more than tripping over his dumb dragon feet, but who cares? As a result of his sweet wife-tossing skills, Shining Armor became the prince of his own fucking empirekingdomprincipalitycity-state vassalage, which his wife, Princess Cadence, is technically the ruler of. Except that she still reports to Princess God-Emperess Celestia.
Shining Armor was infected with horn herpes by King Sombra. It made his magic bubble not work until the disease went into remission.
Shining Armor is known for addressing his younger sister Twilight Sparkle using the affectionate nickname "Twiley." Hearing this inspires a sensation of cockroaches crawling over one's skin. Thankfully, he is the only individual who has used that moniker.