The rear shocks are the same as the '02 and up (in the 1500 trucks), I have Bilstein F4-BE5-2550-H1's on the rear of my '06 and they fit fine. I could not find any aftermarket shocks for the front as the '06's have the new coil over type independent suspension and apparantly nobody in the aftermarket has made anything for it yet. Bilstein says the front shocks are still "in development", with no word on how long that could take. I do know that Rancho has some front shocks coming out for use with their lift kits, but I don't know if they would work without the lift or not.
As a side note, when I was researching the shock deal, I read that the factory "off-road" shocks where no different than the standard shocks internally, they just painted them red (or some other color) externally.
I have Bilstein BE5-6681-H5 shocks on the front and BE5-6647-H5 on the rear of my 2006 2500 4X4 LB crew. Bilstein does not list anything for the 2006 yet (what are they thinking?) and the place I bought them from sent the following in an email..
"Bilstein has not released many applications for the 2006 model year, but according to all the information I have, the shocks are the same for the 2005 and 2006 models."
I bought the shocks and they bolted right up. No problems 25K miles later.