SHGC and U-factor are both important ratings to understand the energy performance of windows:

The SHGC is most important during warm weather when sun shining on the windows creates the biggest part of the air conditioning load. The lower the SHGC, the less solar heat enters the window.

Windows with low solar heat gain low-E glass will block more than half the solar heat while still allowing most of the daylight to pass through.

The U-factor measures the amount of heat transmitted through a window due to a temperature difference between indoor and outdoor conditions. The U-factor does not consider solar heat at all.

For cold climates where there is a great difference between inside and outside temperatures, the U-factor is very important to maintaining indoor comfort.

The lower the U-factor the less heat flow through the window. A low U-factor is also desirable in hot climates when you might have a 20-30 degree temperature difference between the hot outdoors and the cool inside of the house.

Remember - heat flows from hot to cold, and the lower the U-factor, the less heat flow.