The title of the album relates to the slogan "Shag Shag Shag",a lyric from The JAMs' 1987 debut single "All You Need Is Love" that also appeared as promotional billboard graffiti at the time of the single's release. The gatefold sleeve of the Shag Times vinyl double LP alludes to a newspaper, whose columns recount The JAMs' actions as reported in the music press, alongside reviews of their musical output.

Released in January 1989 (see 1989 in music), Shag Times includes a selection of The JAMs' singles and album tracks, followed by The Timelords' "Doctorin' the Tardis". The remainder of the album consists of tracks originally by The JAMs, The Timelords and Disco 2000, remixed by and credited to The KLF. These KLF remixes were produced in 1988 by Drummond and Cauty, with engineering by Ian Richardson and programming by Nick Coler. The compilation showcases The JAMs' characteristic sample-driven hip hop and bastard pop, and in equal measure it introduces the minimalistic house sound of The KLF that characterised their subsequent "Pure Trance" releases "What Time Is Love" and "3 a.m. Eternal".

Following Shag Times, The KLF became Drummond and Cauty's main vehicle; the only future release by The JAMs was the industrial techno single "It's Grim Up North".

Don't Take Five (Take What You Want)

THE LOST SOUNDS OF MU HAVE BEEN COMPLETED. WE ARE OFFICIALLY FINISHED.
THE KLF, OVER AND OUT.

Welcome to The Lost Ancients of Mu, we follow the Justified Ancients of Mu Mu and spread the LOST Sounds of Mu..

Don't Take Five (Take What You Want)

The Lost Ancients of Mu (The LAMs) (1)