"Shame" is defined as "a painful feeling of humiliation or distress caused by the consciousness of wrong or foolish behavior." Teaching people to feel shame for conduct like lying, cheating, and stealing is an important tool societies use to enforce social norms in situations (such as with young people), where resort to legal action would be excessive and harmful.

It works at a macro level too. Consider this article: http://www.bbc.com/news/business-25947984 ("Child Labor: India's Hidden Shame"). The word succinctly captures the international community's disapproval of certain practices that are common in certain places, with the implication that continuation of those practices will meet with continued disapproval from international peers. Again, that's an important social tool at the international level.