Please use the search function and read through the forum rules before posting, because I have a funny feeling you haven't, like many others on these forums.
Final Smashes have been discussed to death, so searching would yield you many posts you could reference.
All the information we know can be viewed on
www.smashbros.com
We do not know how shielding will be implemented in Brawl yet, however it is highly likely that Final Smashes can not be blocked, due to their nature.
Threads like this, clutter the forum unneccesarily, so please search first :bigthumbu
EDIT: You do not avoid using shields - you block or avoid
damage. If your asking if Final Smashes can be avoided by dodging/getting out of the way etc. Then probably.
Dave