Conventional shields seem to be surprisingly rare in 40K for some reason. They exist, but as far as the Imperium goes at least they seem to be exotic technology that's only accessible to people like inquisitors.
That's not true per-se, Imperial Guard officers, Mechanicus and so on might often have an Refractor Field. They're rarer than, say, plasma weapons, but it's nowhere near Inquisitor exclusive.
Void shields only seem to be used on really big things like titans, cities and spaceships, so presumably there's some issue with making small ones, probably energy demands.
Personal Void shields exist, curiously enough, with anything in between that and planet-sized bubbles (funnily enough encompassing your planet with what's essentially a portal to warp ready to open can have side-effects). The main problem with them is that they seem to require A LOT of power, so the small ones require an excessively good small power supply.
Vehicle and personal shields are more conventional, refractor fields, iron halos, storm shields, combat shields and so on are all more traditional energy shields.
Both Refractor and Conversion (Rosarius) fields seem to use gravitational energies to fuck with incoming projectiles. It's not exactly explained in-universe ever, but you could hazard a guess based on the names that the Refractor field refracts incoming objects, slowing them down, possibly tearing them apart in a prism-like manner, except it's gravity, because fuck if I know, it's Warhammer science and gravity is a wave, and Conversion fields just "convert" the incoming energy of a projectile into light or something. Iron Halos aren't an unique type of shield, they're presumably Conversion fields, but I guess they could be Refractor fields too. Storm Shields, Combat Shields and such powered hand-held shields presumably use a defensive equivalent of a power-weapon, where a Thunder Hammer blasts energy from itself when hitting something, those just blast the same wave of energy when being hit.
Of course, the best shield someone in Imperium can get is a shield of unwavering faith in God-Emperor of Mankind. Shield of hatred for His Enemies is pretty close, though.