SHOCK - When this comes up it designates that a potential for shocking damage had occurred, one point per bolt that comes up.  Shocking damage is damage that does no true destructive damage, but does shack up the system a bit.  If you receive enough of this kind of damage you will become stunned.  More than that and you can be knocked unconscious.  Shocking damage is subtracted from your energy.
BLOCKED SHOCK - Blocked shock means just that, though this can mean potential shock that was not delivered as well.  each blocked shock that comes up can negate one shock.  If this comes up on a BattleDie that is produced by a shield or armor, then the shock was blocked, otherwise the shock was simply not delivered (due to movement, dodging/avoidance, etc.).
DEADLY - This denotes a potential destructive hit, one per instance.  hits of this nature that are delivered are subtracted from your physical body.
BLOCKED DEADLY - Like blocked shock, except this blocks (potential) deadly and critical hits.  Each blocked deadly can negate one critical or one deadly.  When this icon comes up it first blocks critical, then when no criticals are left, it blocks deadly hits.
CRITICAL - The worst possible kind of damage, this can incapacitate or even kill depending on the hit location.  One critical hit in any area reduces that area's body to 0.  If you are hit in the vital areas (torso, head) additionally you lose 1/2 you total energy.  If your current energy is less than 1/2 already, you are knocked unconscious.  If you receive this in the head, you are knocked unconscious.  One additional critical in the same area destroys that part, in the vitals, it kills you.
POSSIBLE ATTRIBUTE GAIN - This icon has no affect on combat, but can affect the attribute(s) the weapon skill is based on. If you roll enough arms during combat equal to or greater than your level in the attribute the weapon skill is based on, you gain one point towards increasing that attribute.  Most weapons are based on Strength and Agility, so you may choose either or.  In some cases Dexterity is also involved (missile weapons)