With the system I've got programmed in my game, you just set the direction of the particle system and that determines the 'plane' on which the shockwave propagates. Interestingly though, I've been thinking that a similar concept could be applied to create a more solid looking shockwave - if we had a 3D model of a curved wave front or whatever and applied the same logic as I've got going for the particles to each of its vertices, then you could draw that with an alpha blended texture and have it expand outwards luminescently as a shockwave. What's more, unlike the particles which eventually dissociate with each other (i.e. no longer look like a contiguous circle) this would maintain its solidity. Best of all to, it could very easily be scaled up and down using the LOD system so it would cater to both high and low end systems.
EDIT:
For the record, my particle system in that example uses D3D point sprites - in that graphic there are about 500 particles and it runs quite well even on my laptop which doesn't have any sort of 3D acceleration.