I know they've been suggested before, but it seems like it's always in response to a different suggestion, so I figured I'd give it a topic of its own. Also, I did see Req539, but it doesn't specify whether it means digging without tools, or digging with a tool other than a shovel. I'll come back to this later.
So, basic idea. They could dig through soil layers, but not through rock. They could probably be made of wood, most likely metal, and might be small enough for use by creatures such as kobolds, allowing them to dig their own caves, up to a point.
A few reasons I make the suggestion... First is that it would allow you to build a real fort even if you embarked without a pick, axe, or the ability to make either, while still creating a challenge. The downside is that it means you have to intentionally ignore a feature if you want the current challenge of embarking without tools, but I think that's better than having to arbitrarily forbid your dwarves from digging out stone even though they have picks.
Also, it's rather odd that dwarves currently dig through soil with picks, when they're obviously not well suited for the job. But then, I'm not sure if having shovels would justify removing that capability from picks, since it would be rather irritating to require that miners carry both picks and shovels, or to have two professions needed for digging out a fortress. I suppose that wouldn't be a problem if there's a cliffside nearby, however, which seems fitting enough. Either way would work I suppose.
Shovels might also be useful for tasks other than digging, which actually is mostly why I bring them up. First thing that comes to mind is the suggestion that this entire topic was originally a response to, being the ability to dig up boulders. Other possibilities include filling in holes, which I believe was mentioned recently, and collecting sand or clay. No doubt there are others, but none come immediately to mind, and some of them are probably beyond the foreseeable future.
Now, as promised, back to Req539. Assuming that it did include shovels as a not-very-dwarven digging method that might be allowed, I suppose my only argument is that the other races would probably benefit from it, even if the dwarves don't, allowing modders to use them without sacrificing the current playstyle in the vanilla game. Would also add some diversity to the other races, and I imagine it would be a simply enough matter to make it too large for dwarves... Got to feel sorry for the kobolds though.