Shin splints are generally caused by excess stretching of muscles and tendons along the shin bones (tibia and fibula). Over-use in athletes in runners is the most common factor.
Especially if you take up running for the first time (or after a long time of inactivity), it is very common to experience pain in the shins.
Also, over-pronation of the feet can be a major contributing factor. Excessive pronation leads to internal rotation of the lower leg and will put tractional forces upon the muscles and ligaments in the lower leg.