For Android root users, if you're not on a custom ROM already that has it, you should probably download and install the Terminal Emulator, as it will help out quite a bit for root stuff.
And this is when I am happy I got a Mæmo phone.
Optionally, if you want to install BASH (I recommend it, it's better than the default shell called Busybox), follow the instructions here.
Busybox isn't really a shell, but rather a remake of the
standard *NIX tools in one binary to avoid a lot of overhead. That it might bundle a shell is another story.
The reason for them using Busybox instead of the regular GNU tools is because of that each binary has some overhead (a few KiBs), and while that is neglectible for a single application, it just isn't viable with hundreds of such tools where the overhead might even be bigger than the application itself on an embedded device with quite limited storage space.