There are many different exercises you can choose to include in a shoulder program, the problem is figuring out which ones best suite your needs.
If the main goal of your shoulder program is to add muscular size, then you will want to perform the lifts that will allow you to lift the most weight. Since more weight will usually mean a higher number of muscle fibres stimulated, this means a higher growth hormone release and a better chance of muscular growth. Movements that would accomplish this task in a shoulder program would be the overhead press (or military press) and an upright row. Be particularly careful when performing an upright row however that you do not let the barbell come past your collarbone as this can place a great load of stress on the joints.
On the other hand, if you are looking for muscular definition you may want to consider more isolated exercises that zero in on the smaller heads of this muscle group so you can fine tune how they look. The ones to pay attention to in this regard would be a frontal raise, a lateral raise and a reverse fly. This would take care of all three deltoid muscles to ensure they were evenly strengthened and hopefully evenly developed.
For most of the isolated exercises you can perform them using either light dumbbells, cables or rubber tubing. Advanced weight lifters may be able to bump up the weight but anyone who is just beginning should definitely take care on these exercises to start out slowly. Move through them with a fluid movement and try to utilize a full range of motion up to the 90 degree mark. Many individuals, particularly on the side lateral raises, have a tendency to short the exercise so you only reach between 45-70 degrees, so pay attention you don't let this happen to you.
Watch that you don't perform too many sets in your plan or you will risk overtraining. Four to twelve working sets (determined by your particular goal and how many workouts per week you are doing) is all you need to see optimal results.