The best way to do this is to simply have a CNAME record for your shop such as shop.my-domain.com. There is really no way to embed your whole store into wordpress. If you only have a few products that you want to feature on your blog that's another story: http://wiki.shopify.com/Adding_to_the_Cart_from_a_remote_website
You can also add the shop to the navigation of your WordPress site using the custom menu's of WordPress.
Also, depending on your theme, adding Widgets, ad space, banners with url redirects, etc. Will tie in your blog to your store.
Also - in the other direction, putting your blog into the navigation of Shopify.
A lot of sites do this..
I am not sure if this will help, but we have just launched a new widget that displays your Shopify products in a widget on your WordPress website!
Shopify has an easy to use in-house solution for this launched yesterday. Anyone can use it for free: http://apps.shopify.com/shopify_applications/shopify-widgets
Looks good, but like all apps I am sure there are a few things that are limited. We aim to improve our plugin/widget based on users feedback.
Great! Choice is good. Shopify intends to update and improve the inhouse app as well. The plus it it can be embedded on any site so for anyone who needs this feature for a non wordpress site as well:
Hi Jamie - is that right, I'm wanting blogger as stated before.
I emailed shopify one on the app page, thinking it was splitmango's one - but not heard from anyone.
would be great to get the blogger compatibility confirmed, Jamie :)