Yeah, I thought it could be a reincarnation like the Nerevar/Nerevarine thing but still that doesnt really say much... It only seems odd, a reincarnation of Lorkhan (since it says that Shezarr is Lorkhan...?)? Or a reincarnation of some other god? Doesnt seem very likely in my opinion...
I believe MK explained it this way: http://www.gamesas.com/index.php?/topic/1064037-ine-what-does-it-mean/page__view__findpost__p__15459111 Which is to say, as that thread continues to explain, that is not so much to say that they are a reincarnation of that person/god, but that they are "from" or "of" that thing. So the Nerevarine would be "Of Nerevar". Another opinion is that it means "one who keeps guard over" or "an offshoot of". So, in essence, it strongly associates that person with the god, and in a Tes sense it applies to a basic reincarnation or mantling (though one may argue the finer points).
Mantling is explained by "walking like them until they walk like you," which is to say you do as they did to become them, in a way. You are still you, of course, which is why -ines tend to do a better job than the originals.
And a Shezzarine, being someone who mantled a god instead of a mortal, winds up being more of an avatar of the god in question than a reincarnation.
Indeed, mantling is a fancy way of achieving godhood, in which the mortal closely imitates what they are trying to become (in a sense). The "Walk like them until they walk like you" anology sums it up if you think about it. I think Talos was a mantling, wasn't it?
I'm not entirely sure that Shezzarine means a mantling of Shezzar, though I suppose it is possible. I always thought it was more of an avatar (mortal incarnation of said god) situation, whereareas Nerevarine was more into reincarnation.
So, anyway, a Shezzarine is one with strong ties to Shezzar (yes, it's basically the same thing as Lorkhan. Shezzar is just the Nedic (Cyrodillic) term for him), meaning that he is a champion of human-kind with certain divine powers. Pelinal, Talos, and many of the player characters do fit this bill (excluding the Nerevarine), though the PCs ambiguity prevents much certainty.
EDIT: Does Shezzarine have one z or two?