Update 2011-12-14: It seems that a lot of people are coming here from web searches with phrases like “shapefile openlayers.” If all you want to do is display your data in OpenLayers, I’d highly recommend using a program like Quantum GIS to convert your Shapefile to a more web-friendly format like KML or GeoJSON. Both of these formats can be read by OpenLayers directly, and you’ll see faster performance and more browser compatibility than if you were to load your Shapefiles directly.

**Update 2012-02-02 17:57 -0800:I just wrote a post about another way to do this. I really like QGIS. It’s a powerful GIS that runs on Linux (among other operating systems) and doesn’t require incredible amounts of CPU. One criticism I had of it was that it did not provide the same ‘click-and-go’ basemap experience one can get with ArcGIS for making simple maps (i.e. Add Basemap, select Bing, DeLorme, &c. and you’re done).