Some thoughts that come to mind.....

some of the explanations have mentioned that it is frequency dependant.

Yes,true if you want the shield to act as low inpedence to some group of frequencies, ie;
it could act as antenna which is tuned to a group or actualy be a high impedance to a frequency and
act a short....but...depends and that's were the famous word "subjective" comes into play

resistor and cap

a resistor and cap ie; rc circuit ( charge up and discharge at a time rate  ) can be tuned and act as wide or narrow filter to ground

black magic

Yes it certainly seems that way since I have known some sharp cookies who realy couldn't explain why something worked
or didn't work

Location / proximity to the source, intensity of the signal, frequency, shield quality, ground quality, type of ground system
etc all have an affect on what may or may not happen. One of the problems with all this is that one can't see it or if it is seen it's  via a device which shows what your interested in in some manner.

RICH

But after all this I'm back at my original question which was why commercial ready made up cables have the shield connected at both ends. I guess it's either that or just one end so the designer tossed a coin and said - two it is 

By having both ends connected from the factory, it gives you the option as there is an "interrupter" unit that can be installed between two cables to "break" the loop if necessary.
fwiw
Russ
 

But after all this I'm back at my original question which was why commercial ready made up cables have the shield connected at both ends. I guess it's either that or just one end so the designer tossed a coin and said - two it is  

Probably because the ports are tied to the PC power supply ground, which ties into the AC ground. So you typically have good grounding at both ends. (In a typical PC application)

F***ing hell - sorry Russ and Gerry - I just managed to delete my last post (which you've just quoted). How do I put it back?

EDIT: Bollocks to it - here it is: 

Thanks guys - interesting stuff.

FWIW - This is what I've picked out of it all

1) If your grounding is spot on then ground BOTH ends of your shield.

2) If your grounding is not spot on then grounding both ends is likely to introduce earth loops so just do one end.

3) but in the real world it's not that easy so if it doesn't work then do something else.

But after all this I'm back at my original question which was why commercial ready made up cables have the shield connected at both ends. I guess it's either that or just one end so the designer tossed a coin and said - two it is

I reckon you got it Russ - thanks. Gerry - good point but it's not just PC cables - I have a Hypertherm plasma interface cable right here that is screen-grounded at both ends.

actually called "Isolators"

Although ground loops often involve power line safety ground connections, disabling them is both highly dangerous and illegal.
However, devices called “ground isolators” can be inserted in the signal path to break the loop safely.

Interesting ... :  a transformer , neat.
http://www.prosoundweb.com/article/pesky_ground_loop_problems_a_look_at_solving_them_the_right_way/

My post's are audio related, but I think the principals are the same (or close).
One thing about the audio, it's easy to see (hear) the emi at almost any level. Otfen far before it would become a problem with a 5v digital pulse.
Studying audio makes it easier for me to visualize ...... (huh, visualize audio ? .. I think you know what I am meaning) I need all the help I can get.

Russ

Thanks again guys - meanwhile another (related) question: When we talk about noise - we're talking about induced voltages right? Any ideas on what levels we could be talking about? i.e. what sort of voltages can be induced into a screen?

Just a clarifcation of what noise is:
Well use Russ's audio analogy since you can hear it.
Noise is just many frequencies over a frequency range which we don't understand. You can hear a single tone or some combination
like an orchastra playing and make sense of them. But all that hiss or crackling is just noise. They both exist and depending on the amplitude of one to the other one may dominate.

The same applies to higher and lower frequencies out of our hearing range.

A good example of noise would be sparking from brushes of a motor which puts out high noise levels ie; many random frequencies
through out the spectrum . Should see what happens when tig welding welding is done and a computer is on and near by.....
heck wiped my friends hard drive.

So if you cut a energy field, say one with a whole bunch of noise, with a wire, a flow of noise electrons will occur on the wire and you can measure the voltage. The noise was inductively coupled from a radiating source. So if the noise level is high compared to the
a signal that you were sending on the wire, the noise would dominate and say a device recieving it could not process it.

Sorry for the crap explainations as most of the tech stuff is saved to memory and just can't seen to find the folder it was place in!

What do you mean by  ...induced into a "SCREEN".

RICH