Shoulders have always been difficult for me to train, mostly because I have a rotator cuff problem. As a result, I have to stick to light weights for my shoulder exercises. Nevertheless, I get great results with the superset I do for them, using 10lb dumbbells and a 50lb dumbell.
Here it is: (click em for info)
Front raise
Lateral raise
Rear lateral raise
Front lateral raise
Row
Upright row
The first 4 exercises are 1 set, all using a 10lb dumbbell in each hand and doing 8 reps of each (32 reps total)
The last 2 are a set using the 1 50lb dumbbell (or barbell if you have it)
I've seen decent gains in my shoulders doing that 3 times a week for the last 8 months.