For shrimp stock, throw the shells from about a pound and a half of shrimp into about 4 1/2 cups of water, bring to a boil and simmer for about 20 minutes. Discard the shells. Use this as the base for soups and season as desired.
For chicken stock, cut chicken pieces (wings, drumsticks, etc.) into about 2" pieces and brown on all sides. Remove the pieces and in the chicken fat remaining, sautee carrots, onions and celery until fairly dark, but not burnt. Add the chicken pieces back in, cover with water, add a couple of bay leaves and simmer for about an hour or two. Strain, throw away all the solids and let the stock sit for a few minutes so the fat rises. Skim that, and you're all set.
Vegetable stocks are similar. Caramelize whatever vegetables you like, in a little olive oil... carrots, onion, garlic, celery, turnips, bell pepper, etc.... about 4 lbs total. Cover with about a gallon of water, throw in a few cloves, a bay leaf, black peppercorns and a bunch of parsley, chopped. Bring to a full boil, then cover and lower to simmer. Simmer until liquid is reduced by half and then strain.