shot peening increases the compressive residual stress of the part. the end result is an increase in fatigue life.
forging is a hot process that is done during the molding of the part, while shot peening is a cold process that is done after the part is molded
whether or not shot peening will effect part dimensions really depends on a bunch of different factors, such as the material, hardness, type of shot peening, etc.
basically they shoot little balls of metal or whatever at the part, the impacts compress the metal and make the part stronger. Something thats been around a longtime, been done to cars ect ect.
The question is what are you going to do to the car? Higher end rods should be fine unless you have some huge HP goals. If you plan to rev the piss out of the motor you should really have the rods balanced.