First up are your typical uprated factory replacement shocks, more commonly (and lovingly) referred to as "white-body" shocks. These shocks are common for baseline lift kits and suspension packages and are a good overall improvement over the factory shocks. White-body shocks like the Pro Comp ES9000s and Rancho RS500s (for the 2WD F150s and 4WD F150s) are low-cost options for improving your F150s overall ride quality while getting some extra travel and performance off-road. While they definitely aren't the toughest things on the planet, they'll serve you well as long as you're not doing anything too extreme or adding a ton of rear lift. If you're doing 45+mph runs through the desert, you probably want something a bit beefier.
Next are the aluminum and steel-body shocks. These shocks all have a larger diameter than stock which allows them to hold more oil for improved cooling and reduced fade over white-body shocks. Metal bodied shocks like the Pro Comp ProRunner, ICON 2.0, FOX 2.0 (for 2WD F150s and 4WD F150s), Rancho RS7000MTs (for 2WD F150s and 4WD F150s), Rancho RS9000XLs (for 2WD F150s and 4WD F150s), and the Bilstein 5100s (for 2WD F150s and 4WD F150s) all outperform white-body shocks while keeping price in check over shock designs with reservoirs. Aluminum and steel body shocks dissipate more heat than most standard shock designs and have improved valving for better response. Some, like the Ranch RS9000XLs even have adjustable compression settings to help you dial in your ride. Even the standard steel and aluminum-body shocks are an excellent choice for truck's that see both street and even fairly aggressive off-road driving. These shocks represent a great balance between price and performance.
Finally, there's reservoirs shocks. Reservoir shocks, more commonly referred to as "resis," are available in two flavors: piggyback reservoirs and remote reservoirs. Piggyback shocks (like the ICON 2.5 VS) have their reservoir attached to the shock body, while remote reservoir shocks (like the FOX 2.5 Series) have their reservoir mounted on your truck completely away from the shock. These shocks come standard with external oil reservoirs that greatly increase the amount of oil the shock carries around. The reservoirs act as a cooling mechanism as well, getting hot oil away from the shocks in order more effectively dissipate heat for greatly reduced fade under even the most intense, violent, and consistent articulation. These shocks are the top dogs of off-road performance, and are must-haves for purpose-built off-road F150s that do high-speed runs through rough trails and terrain. They're only real drawback is their price, which is many times more expensive than shocks without reservoirs. Still, if you need maximum performance for real aggressive driving, then these are the shocks for you.