Stretching is definitely the best way to avoid getting shin splints (or any injury for that matter). If you already have them, running backwards helps. It hurts a bunch, but it stretches out the muscles really well. I used to get them early part of high school when I ran track. Ran 1/2 to a full mile backwards after practice and never got them again.

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droark has the best answer so far.

Shin splints are a strain of the soleus muscle where it attaches to the tibia, and is generally caused because the muscle lacks the flexibility necessary to support running.

Start a stretching program focused on all of the muscles in your calves:

http://www.sportsinjuryclinic.net/cybertherapist/front/lowerleg/shinsplints/stretching.php

In the meantime, limit any running that causes pain--if you overdo it, treat with RICE (rest, Ice, Compression, Elevation).

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Stretch well before and after a run as the others say, get better shoes (doesn't have to be expensive, just something tailored to your particular arch support), and pay attention to how you run. Turn off the iPod and listen to your feet as they hit the ground. If you hit the pavement with heavy feet (stomp stomp stomp) then shin splints will follow. This may look goofy, but start off your outdoor runs with a speed walk then gradually increase speed to minimize your impact on the ground. Don't hit the ground flat footed, but try heel to toe, heel to toe.

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Reiterating what others have said:
-Get good running shoes and replace them as necessary (every 300-400 miles). Get them from a running store that can recommend shoes for your stride and arch type. If you have very flat or very arched feet, look into getting SuperFeet green insoles.
-Stretch before and after you run. In college, my coach also had us do strengthening exercises: walk 100 ft forwards and backwards: toes up on your heals, on tiptoe, feet tilted in (on the arch), on the blade, pigeontoed, and duckfooted. These "walks" help build up functional strength in your arches and calves.
-Watch what surface you run on. Pavement tends to beat your legs up, so run on grass or gravel if possible.
-Think about taking smaller strides and landing on your midfoot, so the entire foot lands directly under your hips and absorbs the blow, NOT heel-striking where your foot lands in front of your body on the heel.
-If your shin splints get really bad, RICE treatment. Take time off, ice them, wrap them in ace bandages, and take the time to do strengthening exercises while NOT running.

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