I have the Cabela's Shower Shelter, and in general, I really like it. The only negative I can think of is that it takes a little longer to set up than some of the other ones that are available, but that's also because it's quite a bit sturdier due to the rigid frame. Here's a picture of it from the Cabela's website:
It includes almost everything you would expect in a shower shelter, and probably has features you wouldn't expect, too. I like the idea that it has interior shelves (for clothes, toiletries, etc.), and an exterior towel bar that can be accessed through the window. It also comes with a solar shower, but I use mine with my propane water heater instead. Due to the inherent design of the solar shower, the shower head hangs down pretty low, so it's somewhat difficult for some to use. I don't experience that problem with my setup.
I also have a shower shelter that I bought at Walmart for something like $30 several years ago. It is easier to set up than the Cabela's model, but it is also much flimsier. I never had a problem with it, though, even in Wyoming wind. In use, the biggest difference between the two is how confined they feel. The Walmart one feels very restrictive, while the Cabela's one is very spacious. The newer Walmart model costs about $35 now, and is larger than the one I have, but it's still smaller than the Cabela's model ($100 on sale, $120 otherwise).
Something else to keep in mind is the use of the shelter at night. This applies to all that I've seen. When the inside is lighted, it is not uncommon for a person's silhouette to appear on the wall of the shelter, visible to those outside. A word to the wise is to use discretion while using a shelter of this type at night.
