In the Advanced tab on any product there are additional shipping rules you can set called Special Shipping. The options are:

Shippable
This is the default option for regular products. This indicates that it is a physical product that can be shipped. It does not apply any changes to the shipping cost of this product.

Free Shipping
This option allows you to set Free Shipping on individual products. Note that in order for Free Shipping to take effect you must choose the Shipping method(s) you want your customers to be able to use with this offering. To do this edit a shipping method of your choice and set it to ‘Honors Free Shipping’. You can decide to honor free on any shipping method and any rules within those methods.

Shipping Not Required
This option states that the product does not need to be shipped. This could be used, for example, in the case of downloadable products (E-Products) or in-store pickup only products.