The shell is a typical Unix program. It reads commands from the standard input and prints something on the standard output. This is simple and good.
The points is: In a graphical environment (like GNOME or KDE) a program cannot just write text directly on the desktop. If the programs could, this would quickly become a mess and chaos. Therefore you need a program that provides a space where other programs can write their text. That program also accepts keystrokes from the user and converts them into byte sequences, since this is what many programs (command-line, text based, not GUI) expect. All this is the job of the GNOME Terminal application.
So you have the shell (probably bash), and wrapped around it is the GNOME terminal. To see what exactly the GNOME terminal does you can run (Alt+F2)
rxvt in between and see where they are different and what they have in common.