Shea butter is an off-white fatty substance extracted from the nut of the African shea tree. It is a triglyceride (fat) derived mainly from stearic acid and oleic acid   and is available in varying forms--raw, refined, unrefined, ultra-refined, scented, or unscented.
Raw--has not been filtered in any way, even through a cheese cloth. This type of shea butter will always come as a paste (usually in a jar or tub). Since it cannot be poured into molds, it will not be shaped in any way.
Because raw shea butter is not filtered, it is common for it to have flecks of impurities in it. It is usually a deep yellow color but can also be greenish, depending on how mature the shea nuts were when they were harvested. 
Unrefined--as it is smells nutty and is off whitish, can be used in cosmetics and cold process soap. It has a higher nutrient content, better natural healing properties, and is free of chemicals from the refinement process  This is the only one I use, for 2 simple reasons:
1. I don't want to deal with whatever may still be in it for not having been filtering. Standard, natural filtering is, I think, a reasonable expectation for anything purchased at such a high price as shea butter demands. :D
2. Unrefined shea butter is the highest quality. Some even question whether "organic" shea butter is any different/better. Shea trees grow wild in the dry savannah region, and don’t need any irrigation or fertilizer to grow. 
Refined--cleaned, bleached, and deodorized - can not be used in cold process soap but is usually added to cosmetics such as lotions and creams. 
Ultra-refined--If shea butter has been "ultra-refined", it has gone through at least two filtering systems that change its composition. Ultra-refined shea butter is typically used for mass-produced cosmetics. It will almost always be very white in color. The consistency can vary, depending on how the manufacturer wants to use the shea butter in a product, such as it having a firm consistency for alip balm or being more liquid-like for a hair conditioner. This type of shea butter is considered the least healthy because it loses nutrients in the refinement process. The chemicals used in the refinement process can also be unhealthy, such as hexane. 
Why should you use it?
It's a fantastic moisturizer (both for the skin and hair) and aids in anti-aging by boosting cell regeneration, boosting collagen production, and softening skin. The healing/hydrating nature may also reduce stretch marks and help heal scars, while the anti-fungal and anti-inflammatory properties can fight off yeast, thereby making it useful in preventing/treating diaper rash. 
Additional properties: antioxidant, skin strengthening, UV protection, heals minor burns and cuts, eases muscle aches, and vitamin content.
Raw and Unrefined shea butter are high in Vitamins A, E, F, and K. Vitamins A and E promote clear and healthy skin, while Vitamin F acts as a skin protector and rejuvenator.  Vitamin K makes shea butter great for using on minor cuts because of its role in helping blood to clot. In addition, it aids in strengthening bones, preventing heart disease, and is helpful for maintaining blood sugar. 
Use with caution if you are in the process of lowering your triglycerides. By all appearances, shea butter is safe when used to the normal degree, be it as a moisturizer, a hair conditioner/styling product, or in other skincare products. However, it is still a triglyceride.
Where to buy it
Through me--in person or online--you can purchase a 4-oz jar of unrefined shea butter for $4 or an 8-oz for $7, before shipping.