In sports betting, line shopping refers to the practice of checking lines at multiple sports books to see which one offers the most value.
For instance - let's say that the New England Patriots are playing the Chicago Bears on Monday Night Football.
You have accounts at 6 different sports books and check the odds for the game at all six. You see that five books have the game listed at:
New England, -7, -110
Chicago, +7, -110
While the sixth book has the game listed as:
New England, -7.5, -110
Chicago, +7.5, -110
Now, it's pretty obvious what you should do in this situation if you are looking to take Chicago - you should take the +7.5 line at the sixth sports book, as you will win if Chicago loses by just a touchdown, rather than having the game result in a push.
This is "line shopping", and line shopping is the reason why you should always have accounts at multiple sports books.