Shugar Shack is a challenge in Sanctuary Hole. To complete the challenge, you have to find a hidden shack.
Enter Sanctuary Hole from the top and follow the path to the left, when you reach the first railway right after the first enemies, hop onto the ramp below and jump over the debris at the end. On your right, you will see a power switch and the door right beside it. Power lines leading to the switch also help finding the shack.