This post is going to assume that you are involved in, or have knowledge of shotgun shell reloading. While it is possible to open up and modify shotgun shells, you do so at your own risk. It is generally a BAD idea.
Similar rounds can be purchased from specialty ammunition retailers, but it is often prohibitively expensive.
Flechette Shotgun rounds.
12ga, 20ga, and even 410 can be loaded with flechettes.
Buy flechettes by the pound here.
You can substitute finishing nails. 15 or 16 gauge, or larger, as you choose. Anything smaller, and they tend to be too light. Finishing nails are available galvanized and in stainless steel if you're concerned over corrosion in high humidity environments. Make sure you choose appropriately for the hull length.
Another alternative are drill blanks. Buy by the pound here.
Weigh your load as per specifications. Load in a plastic shot wad/cup. Remove any choke from your shotgun if so equipped.
Close Combat, Indoor
Replace standard lead shot with nylon balls. Purchase here. The light weight of the nylon balls limits range and penetration.
Hollow slugs can be packed with explosive/incendiary compounds. See previous post. Consider adding magnesium filings to the mixture to increase effectiveness. Seal the cavity with a wax or epoxy plug.
If you're feeling especially evil, look into other materials, like glass spheres.
Tungsten-Carbide shot shells are becoming more widely available. You can make your own by purchasing shot from Tungsten Spheres.
Shotguns are versatile weapons and can use many type of innovative munitions. Your creativity and imagination are the only limits. Some people have fashioned slugs out of ceramics, have used lead balls connected with a length of steel cable, pieces of scrap metal, and even super balls as shot shell loads.