From Command and Conquer Wiki
The Naval Shipyard, which was used frequently during the Great World War III, was the successor of the Naval Yard, which saw service during the Great World War II. Both of these structures performed much the same task, but the naval shipyard was a slightly larger, more improved version. This structure, simply put, built ships and submarines for both the Allied and Soviet forces. This is unlike the naval yard, as that structure was limited only to the Allies. The Soviets used the sub pen during the Great World War II, which built exclusively submarines. However, when the Soviets began to build ships, such as the Dreadnought, they switched over to building great naval shipyards. There is little actual difference between the two naval shipyards, the primary differences being the looks of each and the units each one creates. A more distinct feature of the Soviet shipyard however, is the fact that it cannot be infiltrated by Allied spies, unlike the sub pens in Great World War II. In RA3 Engineers and Resource Gatherers can swim and most structures are built over water. Also Shinobi and the spy infiltrating the structure will result the structure going offline.
the Naval Shipyard icon in Red Alert 2
Here is a list of units produced by the Naval Shipyard.
[edit] Yuri's Submarine pens
Allied Great World War III Arsenal 
Soviet Great World War III Arsenal 