Shu was the god of the air. In the Ennead of Heliopolis the sun god Atum started creation by (depending on which tradition one follows) either breathing, spitting or masturbation, which resulted in the birth of his two children, Shu and his sister Tefnut.
It is not quite clear what the name Shu means; the Egyptian language had several similar sounding words, meaning dryness, emptiness, or light/sun; it has been suggested in Egyptology that Shu represented the emptiness of the air between the sky and the earth, or the sunlight which fills this space, or the fact that the air in Egypt usually is very dry.
His sister Tefnut is usually seen as the goddess of moisture, but this also is not beyond doubt. She has also been explained as just complementing Shu because of the wish of the Egyptians to have pairs. Shu and Tefnut are mentioned together as lions in the Old Kingdom Pyramid Texts, as the eyes of the sky falcon (Shu usually being the sun and Tefnut the moon), and in Graeco-Roman times as the sign of twins in the zodiac.