Shall

"Shall" is most commonly used with "I" or "we" in the following functions:
Shall si usa alla prima persona singolare e plurale con le seguenti funzioni:

1. proposal or suggestions: fare proposte o dare suggerimenti:

Shall we go to the park? Andiamo al parco?
Shall I help you? Ti aiuto?

2. offering to do something: offrirsi di fare qualcosa:

It is cold, shall I close the window? Fa freddo, devo chiudere la finestra?
Shall I turn off the radio? Spengo la radio? (Vuoi che spenga la radio?)

3. asking some advice: Chiedere un parere o un consiglio:

What shall I do? Che cosa devo fare? (che cosa faccio?)
Where shall I put it? Dove lo metto?
Where shall I go? Dove vado? (Dove devo andare?)

Should
"Should" is most commonly used to make recommendations or give advice. It can
also be used to express obligation as well as expectation.
Should corrisponde al condizionale di “dovere” e viene usato per esprimere consiglio,
raccomandazione, rimprovero, supposizione.

1. to make recommendations or give advice and suggestions: Per dare

suggerimenti, consigli e raccomandazioni:
She should give up smoking. Dovrebbe smettere di fumare. 
You should go to the dentist. Dovresti andare dal dentista.

2. to reproach:  Per fare un rimprovero

You shouldn’t behave like that. Non dovresti comportarti così

3. to suppose: Per fare una supposizione

The match should start in a few minutes. La partita dovrebbe iniziare tra
pochi minuti.
When you go to Milan, you should visit the Cathedral. recommendation
You should focus more on your family and less on work. advice
I really should be at school by 8:00. obligation
By now, they should already be at home. expectation
You shouldn’t have eaten so much.
Mary shouldn't smoke so much. It's not good for her health.
Lucy shouldn't have smoked so much. That's what caused her illness.

Ought to
"Ought to" is the only modal followed by the preposition to, it is used to advise or
make recommendations, anyway he expresses the same functions as should but in a
more formal way.
Ought to è l’unico modale a essere seguito dalla preposizione to. Viene usato per le
stesse funzioni di should, ma in un modo più formale. E’ meno usato di should.
You ought to give up smoking. recommendation
Dovresti smettere di fumare.
You ought to take an aspirin.
Dovresti prendere un’aspirina.

*Interactive Exercises
http://www.englishgrammarsecrets.com/should/exercise1.swf
http://www.englishgrammarsecrets.com/should/exercise2.swf
http://www.englishgrammarsecrets.com/should/exercise3.swf
http://www.englishgrammarsecrets.com/should/exercise4.swf
http://www.englishpage.com/modals/interactivemodal3.htm
http://www.aulafacil.com/CursoIngles/Ejercicios45.htm
http://www.eclecticenglish.com/grammar/Should1B.html
http://www.englishpage.com/modals/interactivemodal3.htm
http://www.englishpage.com/modals/interactivemodal5.htm

*Please note the videos:

http://www.youtube.com/watch?v=GqH21LEmfbQ
http://www.youtube.com/watch?v=NUMLDz-Cs7A
http://www.youtube.com/watch?v=9nR3-Zo4e7s
http://www.youtube.com/watch?v=QJP72OwZZPM