During my last flight, in an A320, I was lucky to see a shockwave on the wing. It is visible on the picture between the bottom left corner and the left of the yellow object.
What you see is the very fast variation (almost a discontinuity) in the refraction index of air, which varies with density. The flow is locally supersonic before (left on the picture) the shockwave, and is decelerated back to subsonic speeds and compressed through the shockwave. Its thickness is of the order of a few mean free paths of the air molecules (the mean distance a molecule travels before colliding with another).
Taken with a Pentax K-x and an old manual focus 50 mm f/1.7 at f/4.