scdbg is a free, open source tool to analyze shellcode.

Built around the libemu library. scdbg runs shellcode in a emulation environment which currently supports 13 dlls and over 200 Windows API hooks. Scdbg supports interactively working with many types of file format exploits, extracting files and allowing the operator to break into an internal debugger for in-depth analysis..

Builds are available for both Windows and Linux/MacOSX variants. Check out the help file for more details.