If anyone's still in doubt about what's what, there's an easy little home experiment that clearly demonstrates why approach = blue shift (shorter wavelength) and receed means red shift (longer wavelength). You need a roll of paper (
paper towels or a roll of toilet paper will do in a pinch, especially the rough cheap stuff that's next to impossible to tear) and one other person, plus a pen of some sort - ideally a felt pen.
Now place a couple meters of the paper out on a convenient table, and have your assistant hold one end, while weighing down the other end with a not-too-heavy book. Book must be light enough to move with the paper if it's pulled, without tearing it. Now start drawing up and down motions on the paper with the pen (do it very lightly in case you're using toilet paper or paper towels, they're fragile), while your assistant pulls the paper slowly towards him. Note the wavelength this creates. That represents the emitter and the reciever of the light being at a standstill compared to eachother, you being the emitter and your assistant being the reciever, and the movement of the paper represents the speed of propagation of the wave towards the reciever - in this case light, but it could just as well be sound.
Now repeat the experiment twice, once where your move towards your assistant as you're drawing with your up/down motions, once where you move away from your assistant, and once again note the wavelengths you generate. The movement should be slower than the rate at which your assistant pulls the paper (can't go breaking the lightspeed barrier here!). You'll note that while you, the emitter, are moving towards the reciever, the waves get compressed to a shorter wavelength, and while you are moving away they get expanded to a longer wavelength, even though you're emitting at a constant frequency (ie. drawing up/down at the same rate as before).
Easy and cheap to do, requiring no materials not available in the average household
[Edit] @efb, who posted while I was typing this up: Wavelength and Frequency are inversely proportional, so in fact both change: Wavelength = Speed / Frequency. Sound waves propagate at about 343m/s through air, so emit sound at concert pitch (440Hz) and the wavelength will be (343m/s) / 440s^-1 (the actual unit behind the Hz name. It simply means 'per second'), giving a wavelength of about 78cm. Up the frequency to 600Hz and we instead get a wavelength of about 57cm - Frequency goes up, wavelength goes down, speed remains constant as long as the medium the wave propagates through does not change.
And that's probably enough physics for one day

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