Naming the script with .command will cause it to be opened up in Terminal.
If your shell script is called MyScript: Create a folder called MyScript.app. In it create a folder called Contents. In that create a folder called MacOS. In that, place MyScript. Make sure MyScript has execute permissions.
MyScript.app should then be a double-clickable application. Note that unless your script specifically does so, the app will not show up in the Dock.
You can save applescripts executable by saving them as application in script editor. You can also make executable applescripts with applescript studio (Apple's developer tools, Project builder + Interface builder). With applescript studio you can make some very nice looking GUIs in a matter of minutes and attach scripts to different elements of the GUI.
Applescript Studio doesn't cost anything. All you need is Apple's developer tools. You can join apple's developer connection for free at apple's site. After joining you can download the developer tools for free.
Applescript studio is just a term for using Project Builder and Interface Builder (included in developer tools) to create applescript applications.
In script editor you must choose save as... -> format: application...