The Shadow Knows ...
The Shadow Sanctum
Here you can find lists of books, trivia, and a wide variety of other interesting things to know about the "master of darkness".
The Shadow Fan
Though slightly out of date, this site has interesting comparisons between the Shadow and his, er, shadows.
The Shadow Cast
Looking for a specific character in the Shadow pulps? Want to know how many times Lamont Cranston or Harry Vincent are named in a particular story? This is the site for you! The author has done all the leg work, so you (and I) can just do the reading. Good stuff.