In Borderlands some weapons have an elemental effect. These are usually very useful but there are drawbacks. Enemies might have special resistant shields or an elemental animal will naturally resist what you shoot it with. Here is a rundown of each elemental effect:

Fire - When you tag an enemy with fire they take gradual damage until they die or it goes out. Fire damages enemies more if they're shield is gone. Additionally, enemies tend to freak out and lose accuracy when burning.

Shock - Shock damage is like the reverse of fire. It deals an incredible amount of damage to an enemy's shield but loses effectiveness once they're down to their health meter. Also, enemies don't usually panic when shocked.

Acid - Possibly the best all-around element. Acid damage easily eats through armored opponents (like Spiderants and Crimson Lance soldiers) and can spread to multiple enemies if they happen to touch each other while panicking. The only drawbacks to it are that Acid-type enemies are about 90% immune to it and if you try Iron-sight aiming the acid splash from your gun-muzzle can throw off your aim.

Explosive - Not so much an element as a bonus. Randomly when you shoot an enemy with a bullet from an explosion-type gun it will explode and deal extra damage relative to the weapon's base damage. Try to aim for groups.

Eridian - Whenever you find an Eridian weapon try shooting an enemy. Sometimes extra effects not mentioned in the description will occur. The 10101 Cannon is a good example of a Shock/Explosion combination element.