The production of a plasma by a pulsed laser beam in solids, liquids or gas is often associated with the generation of a strong shock wave, which can be studied and interpreted in the framework of the theory of strong explosion. In this review, we will briefly present a theoretical interpretation of the physical mechanisms of laser-generated shock waves. After that, we will discuss how the study of the dynamics of the laser-induced shock wave can be used for obtaining useful information about the laser-target interaction (for example, the energy delivered by the laser on the target material) or on the physical properties of the target itself (hardness). Finally, we will focus the discussion on how the laser-induced shock wave can be exploited in analytical applications of Laser-Induced Plasmas as, for example, in Double-Pulse Laser-Induced Breakdown Spectroscopy experiments.