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The story of the shell has more of a religious note.

Saint James of Compostella turned from the thoughts and pleasures of this life to meditation on the sufferings, humiliation and death of Christ. He vowed that alone, barefoot, and in humility he would travel to the Holy Land and stand by the tomb of the Saviour in Palestine. The first of the palmers or pilgrims, he kept his vow. On his eastward journey he bound upon his hat a little black cockle-shell, the sign of the sea and the suggestion of water in the desert. On his return from the tomb he wore a white cockle-shell, a symbol of purification. Since that time the shell has been the pilgrim's sign, the sign of the wanderer, the traveler from the far lands, the seeker after the unknown. When a pilgrim returned from Palestine with the white shell upon his hat, kings made way, for the holy man had stood on sacred ground. So this sign too was seized upon by the builders and became a frequent form in their decoration.

Topping most of the light posts, gracing the cornices, banding the columns, and in many places interlaced with the rose about the portals at the Exposition, can be found the cockle-shell of Saint James, the other great Spanish sign.

Or, alternatively, there is a lot of much older, pre-christian imagery involved. One idea is that the cockle shell symbolised fertility (see Boticelli's Venus among others) and the pilgrimage was once undertake by young couples seeking a child.

Another idea is that the shell resembles the setting sun and was an ancient Celtic symbol for the area of Finisterre (end of the world). The early church may have merged the legend of St James with the Celtic myths. The Celts thought the Atlantic was the location of the underworld. St James was resurrected back out of the underworld and was then buried at the first bit of land he came to. Hence the strange appearance of his remains a long way from his beheading in Palestine.

All this is taken from the excellent answer in Wikipedia:

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Q: What does the cockle shell symbolize for Saint James?
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