Inductor with Ground Shield
Magnetically shielded inductors are common. Ones with a core shaped like a spool from sewing thread have an open magnetic circuit and they therefore have more leakage inductance and can couple to conductors outside. Things like pot cores and toroids are better. 





Electrostatically shielded inductors are not very common. You have to be careful not to create a shorted turn that would couple with leakage inductance. Electrostatic shields (and double shields) internally between windings of a transformer, for example, are relatively common. 



Sometimes you will see a copper band on the outside of a transformer-- that is actually magnetic shielding (called a flux band).