Shading Models control how your Material will reflect incoming light. Or, put another way, it controls how the input data that makes up the Material will be used to create the final look.
There are six Shading Models in Unreal Engine 4: Default Lit, Unlit, Subsurface, Preintegrated Skin, Clear Coat, and Subsurface Profile. The first, Default Lit, is the one you will likely use for
most of your surfaces, while the remaining five are special case shading models, intended to aid in producing more realistic results on certain types of objects and surfaces.
The following examples are all using Materials with their Blend Modes set to Opaque.