My BIOS offers me the option to launch an EFI shell, but I have no idea what that is. Does it allow me to turn on CPU flags like VT-x or something similar? Why would I want to use it?
The EFI Shell is a "shell" (think of a command prompt or a terminal shell) that a (U)EFI "BIOS" can directly boot into (instead of your OS) allowing control and scripting of many items including booting scenarios,
Installing an EFI shell in an "EFI System" partition (type EF00) formatted with a vfat file system and properly named - "shellx64.efi" for a 64 bit system - will allow you to directly boot into it from your "BIOS".