The "Shad Bake" appears to be a New England phenomenon that occurs in small towns along the Long Island Sound and Atlantic coast where shad
(a species of fish) migrate from the saltwater up into freshwater rivers for spawning (more on their life cycle)
. Actually shad bakes may occur in other areas like the Chesapeake Bay area or whatnot, but my knowledge of the gig is from witnessing the Shad Bake of the Rotary Club of Essex, CT.
I have never actually cooked shad. I just took pictures and asked questions. So if you know more, please leave a comment and I will fill in the gaps as we go.