My wife & I are confused on a couple of points. Are we both required to set up Credit Shelter Trusts in our Wills - or can just one of us do this ? And, assuming I set this up in my Will, I understand the Trust is created if I die first - but, if my wife dies first, is the Trust also created? Or, can I then distribute my assets differently than if I die first / thru the Trust?

Given the total amounts of your assets, to take full advantage of credits and allowances, you both could use one.

Each of your wills needs to have CST provisions because you don't know who's going to die first. The trust serves to utilize your individual estate tax exemption amount when the first of you passes. At the second death, the CST is a moot point for tax purposes: that person's exemption applies whether or not property passes into a separate trust.

The other replies addressed the CST but while you're considering options I suggest you consider a Living Trust that will enable the survivor to avoid the costs of probate of the deceased's assets.

Either way things seems to be almost same to me. Doing both of you will be good as your points support that.