Shockwave is a form of ultra-sound where a literal pressure shock wave is applied to tissue from a "wand" that looks similar to an ultrasound instrument used for medical imaging. In a general way, shock-wave therapy is similar to a technique called lithotripsy that's used to break up gallstones where the shock waves are higher powered. As I understand it, shock-wave therapy breaks up blockages in blood vessels in and surrounding the penis and is said by some to encourage formation of new blood vessels.
On the other hand, TENS (for transcutaneous electrical nerve stimulation) involves the passage of electric currents through tissue. In muscles, this current causes involuntary contraction - in nerves, it can block pain signals. The current is applied through various electrodes ranging from the little adhesive patches used when your doctor takes an EKG for your heart. If the current is passed through certain areas around the penis, muscle contractions can actually cause a "hands-free" ejaculation.
Hope this helps!