Shields grant a +1 to your armor save, so long as you're not armed with a two handed weapon like a halberd or great weapon.
Shields & Hand Weapons grant a 6+ ward save for parrying the attack, that you only ever get if you've got shields and hand weapons. As soon as you arm them with anything else, you lose that ward save.
Personally, I never count on 6+ saves under any circumstances, they're too easily negated by a strength bonus and the odds are too slim otherwise (16.7%?). When they happen, they're a bonus, but I'd rather be dealing extra attacks than hoping for the 6+ ward save. If I take a block of 20 warriors and set them up 5x4, I can take 5 casualties before I lose any combat effectiveness. I'm making more use of the model's I've paid for, while retaining the survivability of a larger unit. I would only ever be taking HW+S in small blocks of 10 where I'm not going to have a third rank.
But then again, I'm new at this. I also tend to use my Saurus as a defensive wall, and use my stegadons and skinks as my primary offensive forces. (Ancient Steg + Skink Chief, Warspear & Ancient Steg right up the middle, 3d6+2 S6 Impact hits before they get to hit back, + 2d6 Thunderstomp hits at the end usually ruins most units' day.)