Why doesn’t neutral wire give a shock?

In theory you won’t get a shock.consider an incandescent lamp. Its one end is connected to live wire and other one to neutral.current enters through live passes through bulb and leaves through neutral.Bulb act as a resistance(resistance opposes the flow of current).now consider 2 cases

1.you are touching the live wire.For current there are 2 options
a) it can enter your body and reach the ground
b)it can go through the bulb and flow to neutral
Since both lamp and Ur body have almost same resistance the current will choose to divide itself into two parts.one part will flow through Ur body ,other part will flow through bulb Ineffect you will get an electric shock.

2.now you are touching neutral wire same as above current has two options
a) it can enter your body and reach the ground
b)it can go continue travelling through neutral path.
But here the first case involves passing through your body resistance and reaching the ground whereas second case is passing through neutral wire with almost zero resistance (its an express way for current).so the current will logically choose to avoid your body path and will happily flow through neutral.

If you are touching neutral wire same as above current has two options
 a) it can enter your body and reach the ground.
 b) it can go continue travelling through neutral path.
But here the first case involves passing through your body resistance and reaching the ground whereas second case is passing through neutral wire with almost zero resistance (its an express way for current).so the current will logically choose to avoid your body path and will happily flow through neutral.

Normally neutral is earthed at substation, so chances of shock is very less.
In addition of this, if due any reason, earthing become week, neutral can give shock also.