A shell script is an ASCII text file containing one or more commands.
# My example bash script (the comment line above ensures this will run under bash)
echo "Hello World"
Next you need to make the script executable with chmod
$ chmod u+x my_shell_script.sh
You can now run the script by prefixing it with ./
If you get the error "line 1: #!/bin/bash: No such file or directory", this usually means the line endings or text format are wrong, in TextWrangler these are shown at the bottom of the edit window and should be Unicode (UTF-8, no BOM) and Unix (LF)
If you will be writing a few shell scripts then it's worth creating a folder, perhaps called "scripts" and adding that to the system path:
$ mkdir -p $HOME/scripts
$ export PATH="$PATH:~/scripts"
Even better is to edit your .bash_profile file to include export PATH="$PATH:~/scripts" that will keep the "scripts" folder in your path every time you log in.
With the script saved in the folder, you can now run it with just:
/bin/bash^M: bad interpreter: no such file or directory
This usually means the file has been edited and has Windows <CR-LF> instead of unix <LF> line endings.
OS X Syntax
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