Shells are what Ukraine needs the most right now, but the West in its weakness dismantled most of the factories they had to make them some time ago. We do not have the economic machinery needed to wage a real war like we used to, and Ukraine is suffering because of that.
It isn't just the manufacturing facilities for shells. That can be repurposed from other uses.
The vast majority of NATO explosives use TNT in their filler, either by itself or as a stabilizer for more powerful but temperamental explosives. The US does not manufacture TNT at all (a facility in a company to remedy this problem was announced within the
last week), and in the EU only Poland makes the stuff. The propelling charge to launch the shells is similar in nature to that used in small arms, but are needed in quantities large enough that even the well-established US and Czech civilian ammunition markets are heavily distorted by the demand.
When you're firing your artillery only in training or in extremely limited combat, you aren't going to be buying more than a trickle of shells every year, and that means the
entire supply chain withers and dies from lack of orders. Ukraine almost certainly fires more shells every month (quite possibly in some single
days) than NATO fires in a decade. Of the NATO countries, only the US made any effort to stockpile munitions for an all-up war, and this fight has proved that even the US stockpile is deeply and fundamentally inadequate.