Anyone have any advice for shin splints?

Ouch!

Should I exercise through the pain or stop as soon as I start to feel the discomfort? Should I focus on warming up before and after I exercise? Should I focus on strengthening those muscles in the from of the shin? Should I invest in really expensive shoes (recommendations?) for exercising? Should I do all of the above?

Since you're posting here, does this mean you have self-diagnosed shin splints?

I have had shin splints in the past, as has my daughter. There isn't much you can do, but if your current exercise takes place on an extremely hard surface like a street or sidewalk, you'd probably be better off getting to a track, gym or treadmill. The softer surface will be easier on your legs. If you're wearing good, supportive shoes, then there's no reason to invest in expensive shoes (hard to respond since I don't know what you mean by 'expensive'). You can exercise through shin splints, depending on the severity and your ability to tolerate pain. Post-exercise ice/elevation/ibuprofin should help.

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When mine act up, I've found that it's best to rest it out.

I had that condition and it's gone forever.

All I had to do is see a foot doctor, was fitted (through a plaster cast) for orthotics which I insert into my shoes. Shin splints gone.

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Seconding the stretching and orthotics advice. Try storebought arch supports for both your regular and workout shoes for a while to see if they help. If so, keep wearing them, or get fitted for custom ones (which are pretty expensive but they're worth it).

To add to my experience with the foot doctor. He said that the shin splints were caused by an improper step by my feet. He demonstrated the correct way to walk or run, and then the way I was walking. It's about the imbalance of weight on the foot.

In case I'm not clear, lol. Some people may walk with a roll to their feet, which might put more weight on the heel, or maybe on the outside edge of the foot, etc.

the orthotics correct this imbalance to make sure your foot hits the ground the right way.

worked wonders for me!

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Make sure that you do not have any stress fractures, which sometimes mimic shin spin pain (another reason not to self-diagnose).