Shockwave = plugin for playing Macromedia Director content. Director was a GUI builder for interactive multimedia apps which were programmed in a custom language called Lingo.

Flash was originally called FutureSplash, if I recall correctly. When Macromedia bought it they rebranded it to fit their general branding theme, hence the confusion. Flash wasn't really intended to be an app platform, it started out as a vector animation format, but later they added scripting using a dialect of JavaScript called ActionScript.

Most users ended up with the Flash plugin but not the Shockwave plugin. Macromedia Director was huge in its day - my first programming job involved writing Lingo - but it died out pretty quick when the internet started taking off.