The word Shadow primarily refers to a parallel universe that is created or cast by the metaphysically polar world of Amber. Amber is said to cast an infinite number of shadows with each shadow differing more the further from Amber you traverse, all the way to Chaos. Our Earth is but one shadow of Amber.
Any sufficiently powerful entity or object, if it dwells within a Shadow universe long enough, also has the potential to cast lesser Shadows of itself into adjacent parallel universes. This occurred when Corwin spent a prolonged period of time in a Shadow universe called Avalon.