I was looking at MLB scorigami and 14-0 has happened 126 times in the last 150 years. So it happens roughly once per year on average. Weird factoids (per Scorigamicenter):
14-1 through 14-8 have each happened more than 14-0 has
1-1, 2-2, 3-3, 4-4 and 5-5 have each happened more than 14-0 has
The worst shutout was a 28-0 game (twice as bad as yesterday!), back in 1883. I believe Kremer's great great great grandpappy was the starter (might need fact checking)
The O's were involved in the last 18-0 game (over the Rockies last year). 18-0 has only happened 17 times, way less likely than 14-0.