mors tua vita mea
While everyone has differing opinions regarding who the most useful character in Final Fantasy VI is, there is no doubt that Shadow is one of the best. Between his special "throw" command, Interceptor, and his overall strength and speed, he is a force to be reckoned with. I've highlighted some of his strengths and described how I tend to use Shadow when he's in my party.
There is a reason why Shadow "comes and goes like the wind," and it's because he's just too go to have in your party permanently at the start of the game! No, seriously. If you load up on shurikens, Shadow will be able to deal out more damage than your average character. Additionally, if you make the conscious decision to have Shadow only throw items (i.e. not use the attack command), you can place him in the back row, thus reducing the amount of damage he will take when hit by an enemy's physical attacks. This is an extremely rare advantage -- how many back row characters are able to deal out massive amounts of damage? This is especially true when the party has limited access to magic, which is the case for much of the start of the game. Speaking of magic, Shadow is able to dish out some elemental damage early on by throwing skeans.
While Shadow's ability to throw shurikens, skeans, and other weapons is certainly a positive asset, Shadow has one advantage that no other character has -- Interceptor. Not only does Interceptor randomly counterattack enemies (with either Takedown or Wild Fang) who harm Shadow, but he also blocks (intercepts!) physical attacks to Shadow approximately 50% of the time. Not too shabby! Interceptor is a huge advantage at the start of the game -- his counterattacks can do as much as 4,000 damage, at a time when that kind of damage is unable to be achieved through any other means! Even at the start of the game, Interceptor can dish out damage in the range of 1,000 when your characters are only doing 100. Talk about a tough guard dog...
Even if you take away Shadow's throw command and Interceptor, he still proves to be a useful character. He is one of the faster characters, and he is the best evader (that assassin training had to come in useful for something). While he is not the strongest character or the best mage, he is above average compared to the rest of the party. In fact, Shadow is above average at just about everything -- physical defense, magical defense... you name it! This means that he has no real weakness. I personally like to equip Shadow with the Genji Glove relic (it allows him to hold two weapons -- after all, Interceptor's protective powers makes a shield less crucial for him than other characters). If you're feeling extra vicious, equip the Offering as his second relic, and he will attack eight times each turn! You can do this with just about any character, but somehow I always make Shadow my powerhouse. It just seems to fit his image!