The Shadow archetype in Carl Jung's theory embodies the unconscious part of us which contains things we do not know about ourselves. The shadow is always our shadow and, it is casted by us and bears our shape. This is why it has a close association with the Self archetype. The shadow as an archetype manifests itself in the form of figure of the same sex as the person in question. You'll note that many literary or cinematic heroes have archenemies which have some connection or resemblance to them (think of Luke Skywalker and Darth Vader, or Harry Potter and Voldemort which makes for a great shadow). As opposed perhaps to the Persona archetype, the shadow is according to Jung "the thing a person does not wish to be". The shadow is therefore a source of fear both in being unknown and in being too well known. It is important to remember that the shadow hides a lot of monsters, but it can also host some "angels", positive things about us which we do not acknowledge. In dealing with the shadow archetype is imperative not to ignore it. Being a shadow, it thrives on darkness and the more we avoid shedding light on it the more it grows in strength.
See further: list of Jungian Archetypes + short explanations