I liked Shadow in SA2. Mostly because his stages were in the same vein as Sonic's, which was nice considering how 70% or so of the game was either mech-riding or treasure hunting.
He was a cool character in that one, too. His story allowed for the plot to take a pleasantly darker turn there close to the end.
I haven't played any of his other appearances aside from a little bit of Heroes, but
Spoiler Below bringing him back kinda lessened the dramatic effect of his death in Adventure 2.