Also spelled Sambhala, Schambhala, etc. this is a Sanskrit name of an ancient, mythic city with a highly-advanced (spiritually, ethically, scientifically, etc.) civilization. In some traditions the ultimate spiritual leader will come from this city. Metaphorically, Shambhala is your higher self. When you choose to dwell there (that is, let all your actions and choices come from your higher self) you can become your own avatar.