A "shovelglove" is neither a glove nor a shovel. It's usually a sledgehammer, the head wrapped in an old sweater or sweatshirt. The sweater is just there as a minimal safety feature to give a slight bit of protection to things like your hardwood floor or your noggin.
The shovelglove is intended as a cheap piece of workout equipment; you use the sledgehammer to go through a variety of moves that mimic shoveling coal, or chopping wood, poking a spear at an orc, etc. The term "shovelglove" was coined by Reinhard Engels, who espouses this particular sledgehammer-based workout routine at www.shovelglove.com.
The idea of the shovelglove is that -- in the absence of being able to participate in physical labor or sports -- mimicking actual activities is often more interesting than, say, using an exercise bike, or doing pushups, etc. The other part of the concept is that stand-up workouts that you can do in jeans and a t-shirt may be more appealing than things that require you to lie down on the floor. And the final part of the shovelglove idea is that you're using a cheap equipment that you can use for something else instead of buying expensive, single-purpose gym equipment.
I don't own a sledgehammer, have no need of a sledgehammer, and so running out to buy one seemed to defeat the notion of the shovelglove. So I looked around at what I had on hand, and made a shovelglove out of an old aluminum crutch; I strapped ankle weights (why did I buy those?) around the armpit pad. The crutch, I think, is an ergonomic improvement over the shaft of a sledgehammer in terms of the grips you can use, and since the weight wraps act as a kind of padding it doesn't need a sweater. I've been going through Engels' exercise suggestions along with a few modifications of cane routines I learned in hapkido and throw movements I learned in judo.
I have to say, it's a pretty damn good workout. It gets my heart racing, and it works my arms, shoulders and core muscles like nothing else I've tried. According to Engels you only have to do your thing with the shovelglove for 14 minutes a day to stay in shape; I've found breaking that up into a couple of sessions throughout the day works just as well as a single session.
Engels does not claim to have the only sledgehammer-based workout around, and as Whiskeydaemon helpfully pointed out, workouts based on Thor's hammers and Indian clubs have been around for a long, long time. This is the same basic concept, just a little more DIY and with more imaginary orcs.
So, in the end, do whatever works for you; if you can't find the enthusiasm (or can't afford the fee) to go to the gym regularly, a shovelglove might be a good substitute. But if the shovelglove seems goofy, maybe DDR on your Xbox would be more your speed. The important thing is to find some kind of exercise that engages you and that keeps you healthy.