My life is down to 1 and my opponent 4. I attack with a 4/4 lifelink creature, and my opponent answered with a Shock to deal two damage to me, will I lose or will lifelink save me first?
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You will die first.
The attack phase is actually a series of steps, of which declaring the attacking creatures is only the second. After you have determined your attacking creatures, there are several opportunities for each player to play instant-speed spells (such as Shock) and abilities before the attacking creatures can deal their combat damage. So, unless you agreed to resolve combat first, if your opponent can reduce you to zero health or less, you will lose.
For reference, these are the steps of the combat phase:
Sounds like shock was used before blockers were declared and therefore before combat damage was dealt. In this case, the shock will resolve and reduce your life to -1 before your creature can attack. You lose.
You and your opponent both have the opportunity to cast spells and activate abilities during both the declare attackers and declare blockers steps, both of which happen before the combat damage step. So you've taken the two damage well before your creature would deal its damage and let you gain life.
Of course, this is a slightly unusual situation anyway - your opponent could've probably just killed you with Shock earlier in the turn, or even during their turn.