One of my favorite pages to read in a shrine is the owner's reasons why he/she decided to make the site. I think it's easy to describe a character, but explaining why you're drawn to one character over another can sometimes be difficult to explain.
Shadow is one of those characters who I haven't always loved but have grown to love. The first time I played Final Fantasy VI, I was so overwhelmed by all the characters that Shadow just got lost in the mix for me -- characters like Locke and Edgar really stand out and demand your attention. However, I have since replayed Final Fantasy VI numerous times, and every time I find that there is always something new to get out of Shadow. His storyline may be subtle, but surprisingly, it is one of the most developed in the game. It is up to the player whether or not you learn about his past -- Squaresoft didn't exactly make it easy for the player to "accidentally" see one of Shadow's dreams. I guess my point is that there's something to be said for a character who is deep and has an interesting backstory who, at the same time, does not shove it in your face.
Plus I've always liked characters who teeter on the border between good and bad. Shadow is hardly a knight in shining armor, and his intentions are far from being perfect. Yet behind the mask, behind the dark past lies a man who is good. He may have been driven to a lifestyle that is far from laudable, but he still manages to be a good guy through it all. Shadow just goes to show that all characters cannot be grouped into "heros" and "villains" -- in reality, most people fall somewhere inbetween the two.