Boulders are one of the more common Obstacles, and have appeared in a few of the levels in the Dark Castle Series, some of which are Fireball 3 and Black Knight 2, Shield 1. They are not Enemies, but more Obstacles. They are thrown by the Rock Henchman, and will bounce around until the leave the screen.
The best strategy is to move quickly, and try to jump over, or duck under the rocks. The Shield can be extremely useful against these.