Magento 1.9 – How to Change SHOP BY Text in Left Sidebar

This is pretty simple. You just need to dig some code.

1) Goto your catalog.xml file and find catalog_category_layered tag ie:(ANCHOR) tab.

2) insert the following code along with the layered navigation code.

<block type="catalog/navigation" name="catalog.leftnav1" after="-" template="catalog/navigation/left.phtml">
     <block type="core/text_list" name="catalog.leftnav.state.renderers1" as="state_renderers1" />
</block> 

3) This will show the Category filter which is shown in the Non-Anchor left navigation.

4) Now, you might need to remove the category filter from shop-by as it is already been called above. To do so edit the layered navigation code as follow

<block type="catalog/layer_view" name="catalog.leftnav" after="currency" template="catalog/layer/view.phtml">
    <block type="core/text_list" name="catalog.leftnav.state.renderers" as="state_renderers" />
    <action method="unsetChild"><alias>category_filter</alias></action>
</block>

Its either in

app/design/frontend/{package}/{theme}/template/page/3columns.phtml

or

app/design/frontend/{package}/{theme}/template/page/2columns-left.phtml

Make sure that you update correct file -- if you change base/default (which is considered a bad practice) and you have copy of it in {package}/{theme} folder then your changes is not taken into consideration.

Also I'm not sure what you plan to achieve with col-left-first as this div is considered wrapper for text-list, a container if you will:

<div class="col-left sidebar"><?php echo $this->getChildHtml('left') ?></div>

You probably want to add this class to blocks inside that div.