This name of Lord Shankar indicates his blissful personality. He assumes the form of gross elements during playful moments, while he becomes the object of concentration during spiritual moments. Therefore He is called as Shambhu. Shiva, Maheshwar and Shambhu; these names indicate creation, maintenance and annihilation respectively. Thus these three titles can be accepted as the neutral symptoms of Brahman, the Absolute. Material cause (Upadan उपादान) from the first title, efficient cause ( Nimitta निमित्त) from the second title and the oneness of cause and effect has to be understood from the third title. A great Shaiva शैव and crown jewel of Tantra तंत्र Shri Bhaskar Roy reveals the secret of this name as under—

शं भवयसि च भवसे शं च भवसि चेति वा देव्।
त्वं देवदारुविपिने लिङ्गे प्रथितोस्यतः शम्भुः॥

O Lord!! You generate all bliss and you enjoy all bliss, you are embodiment of all bliss and eternity. Your lingam which resides in pinewood forest, is called Shambhu-lingam शंभु लिंगम्. So you are known as Shambhu.

The sense of delight which we feel in ourselves, that also depends on the delightfulness of Lord Shambhu. He remains uncovered just to allow us to get pleasures ceaselessly. His perpetually uncovered form is eternally joyful to Him. Therefore Lord Shiva is called Chidananda चिदानंद. Even the happiness felt by us in gross sense objects, that happiness also comes from Shiva because there is no other origin of happiness except Lord Umesha. Attainment of the happy and blissful nature of the self is the secret of holy name ‘ Shambhu’.