Those heel raises that sailorgloom mentioned are great, I do those as well and it seems to help prevent shin splints for me. I'm not sure how much you do this, but it is important to properly stretch before running. I read an article recently that said most shin splints occur because of the runners failure to stretch before running.
You should stretch (at a minimum) your hamstrings, quads, calfs and shins. I also stretch my triceps, chest, neck, back, and shoulders before I run, and it really seems to help keep me injury free. It is also recommended that you stretch after you exercise as well, focusing on the same muscle groups you stretched at the start.
Stretching your shin muscles is a little hard to do standing up, unless you have really good balance. You can try to stand on your heels with your toes pointed up for 15-20 seconds. If this doesn't work for you, try sitting on the floor with your legs in front of you and your hands planted on the floor beside you. Bend your foot at the ankle as far as you can so that your toes are pointing back toward your body, and hold this for 15 to 20 seconds. You will feel the stretch in the front of your legs between the knee and ankle. Hope that helps!