Geodatabase - An ArcGIS geodatabase is a collection of geographic datasets of various types held in a common file system folder, a Microsoft Access database, or a multiuser relational database (such as Oracle, Microsoft SQL Server, or IBM DB2). Versions 8.3, 9.1, 9.2, 9.3 are available.
Shapefile - Shapefiles are a simple, nontopological format for storing the geometric location and attribute information of geographic features. Geographic features in a shapefile can be represented by points, lines, or polygons (areas). The workspace may also contain dBASE tables, which can store additional attributes that can be joined to a shapefile's features.
Shapefiles can be read by most GIS software programs and most newer CAD software programs.
How to Open Shapefiles in Autodesk AutoCAD
Type: mapimport in the command line. That opens the Import Location window. Select ESRI Shapefile from the drop down list and then browse to the location of your shapefile.