I've had terrible shin splints since I ran high school track (I'm 38 now) and could find no cure. I tried ice, topical steroid gels, rest, cross-training, everything. All to no avail. I ran in the Pittsburgh Marathon last year and thought I would die, not from the endurance, but from the pain in my shins. My running group suggested these Cho-Pat Shin Splint Compression Sleeve
and they saved my running career. I'm not kidding.
Three problems: (1) they're expensive, but if you love running, they're totally worth it. and (2) they're sold individually, not in pairs, which is dumb because I don't know anyone who gets one shin split, so they're even more expensive than you think, and (3) they look ridiculous, but when I'm running, vanity is the last thing on my mind.
But I'm telling you, I bought two pair I loved them so much and won't run a mile without them.
"The grass ain't greener, the wine ain't sweeter, either side of the hill" The Grateful Dead