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In hieroglyphs, Shu's name is spelled with a big, white ostrich feather. The same feather also spells words for emptiness, wind, and sunlight. All three can also be forms Shu takes. He's his own pun!
Tefnut's name is related to her daughter Nut's name. Where Nut means "sky," the first part, "tef," means "to spit." So, literally, Tefnut means "Sky-spitter." Pretty gross way to describe rain, but it works.
In one ancient Egyptian myth, Tefnut gets angry at her father, Atum, and leaves town. Shu goes looking for her, and, with the help of their pal Thoth, convinces Tefnut to come back home. Because of this story, Shu is sometimes called Anhur, or "the one who brings the distant one (back)." This myth also explained to the Egyptians why it gets cold in winter and warm in summer: it gets cold and dead when Tefnut (the rain that makes things grow) leaves town, and then Shu (the warm spring and summer breeze) chases after.
Shu and Tefnut are sometimes called Ruti, or "the two lions." In their lion forms, with the sun (Ra) between them, they form the horizon-god Aker or Akeru. This leads to another nickname for them: "Yesterday" and "Tomorrow," or the sides of the horizon. The Aker symbol was so popular that the Greeks and Romans took it from Egypt, and you'll see houses and buildings with lions on either side of the doorway even today.
The Wandering Goddess myth is also the source of a few fables: stories about animals that do interesting or clever things. One of the stories Thoth and Shu/Anhur told Tefnut to cheer her up is about a mouse and a lion with a thorn in its paw. Many people today know this story as the fable of the mouse and the lion, from a Greek writer named Aesop. Except in this case, Aesop was just repeating a story that was already popular in Egypt!