Most Lego cars need no shock absorption, but they may actually prove useful in heavy vehicles on very difficult terrains, or could be added for realism. Here is one concept of a shock absorber mounted on springs, and based on a standard pneumatic piston.
Its principle is quite simple: when the springs move, they force the piston to move along. Since the air being compressed out or sucked in the cylinder offers some resistance and friction which is independent of the piston position, it serves nicely as a shock absorber.
This is more of a gimmick than a really useful option, as it is rarely seen even on real cars. However, some high-end cars actually do feature adjustable shock absorption, to balance between ride comfort and sport performance.
Since the pneumatic cylinders have high structural strength, this system can be comfortably mounted into very demanding and heavy vehicles. Or in other words, it will be other bricks invoved in the wheel suspension that will break sooner than the cylinder!