A link to the three previous bills, please read them first:
First, the choice of the shredding software. Given the high number of vendors for that and the increasing number of rogue security software, I advise to take only software from a well-known vendor (from its official site or from a reseller) or opensource software.
I would bet that among all the software that claim to shred files, one quarter are rogue software.
Second, the views I gave in the three previous bills only take in consideration a part of the complexity of the question. For instance, different media (RAIDed hard drives, Flash memory...) may not follow the same behaviors as hard drives. Another example: filesystems are not considered. If the setup includes a rollback system at the filesystem level, then shredding empty space might not be efficient.
Third and final: let's think practical. There is no need to buy expensive software when you don't have a need for expensive functionalities. Most of the functionalities are covered by the tools included in a basic Linux distribution (thanks ketherius (RO) for the example). There is no need to shred everything everyday if you don't handle extremely valuable information (and even then...)
EDIT 22/06/09: If you can speak French, there has been an eXCellent discussion thread on the matter on linuxfr.org.