Any metal will shield from electric fields, though the higher the conductivity the better. But only high-permeability magnetic materials will shield from magnetic fields, such as those that leak from power transformers and motors.
The best-shielded transformers typically use alternating mu-metal and copper cans, that nest inside each other. Typically 30dB per mumetal can. You can use soft steel, but it is less effective and must be much thicker - I've heard 1/4" is as reasonable as it gets.
Mu-metal itself is very sensitive to mechanical shock, and must be annealed after forming. Magnequest Mike says if you drop it on a concrete floor, just throw it away, it's lost its magnetic properties. But there are high-perm tapes that are more tolerant, such as the molyperm used on the PT-1 to reduce its stay field. I don't know where to buy it though.
