At the absolute most extreme, we might get some nice Northern/Southern Lights.

Basically, this gas is so thin that we would consider it a vacuum. It's only over millions of years and many light years of space that the number of collisions between particles adds up for it to start acting like a gas, so that it can carry shockwaves, soundwaves etc. But we're often talking about less than one atom per cubic centimetre, and it's not going to push the Earth at all as we pass through this wave.

Some of these particles may be charged, and drawn in by the Earth's magnetic fields towards the poles, and maybe contribute to the Northern/Southern Lights. I haven't done the maths to see if that would be a significant contribution compared to the constant wind of particles we get from the Sun though.

When you talk about shock waves on Earth, you're usually referring to particles bumping into each other. Since there are significantly fewer particles in space there's not the same kind of phenomenon for the most part. On the other hand, things can explode in space and because there aren't a lot of particles to slow them down, they just sort of keep going outward from where they started. Any sort of explosion disperses over a distance like a balloon that isn't inflated is much denser, then becomes thinner as you blow more air into it, so most space based explosions have very few particles that reach us on Earth.

About the only two objects in our solar system exploding that would eject material that would hit us noticeably are the Sun due to the sheer amount of mass it possesses and the moon, due to how close we are. The good news is that the sun is pretty stable for a star, and the moon is incredibly inert so either is astronomically improbable. The biggest danger as far as "space shock waves" go is a star or stars going supernova. Our star contains about 99.8% of the mass of our solar system but on a cosmic scale, is not one of the larger stars out there. When a star becomes unstable it can launch an absurd amount of its mass and energy out in a wave. This wave is not a threat to us if it is far enough away, but the closer the supernova, the higher the amount of mass, and the higher the energy the more dangerous it is. A small far away supernova might just be a more visible star in the sky as most of the energy doesn't reach us. A supernova in our immediate vicinity could be powerful enough to bathe our planet in un-survivable radiation. The good news is that most stars near us look fine, we're not expecting any atmosphere stripping shock waves from what we can see of our galactic neighborhood.

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Overall, it's difficult to predict exactly how a shock wave from an astronomical event would affect the Earth and its inhabitants, as it would depend on a variety of factors such as the source, the strength of the wave, and the distance from the wave's origin.

A shockwave? Well, this happens with some frequency actually. Gravitational wave detectors are used nowadays to identify collisions between pairs of massive objects, like black hole pairs, neutron star pairs, or black holes and neutron stars. The waves generated in the very fabric of space time can only be detected by very sensitive detectors, because their effects are so slight by the time they reach us. We wouldn't notice those at all, without the necessary equipment.