Nine Hands has the right idea. Take our world, make it creepy and twisted, and use that as your basis. Then take any monster's stats, change its appearance so that it isn't easily recognizeable, and slap a shadow template on it.
Way back when, there was a good Dungeon module with a rakshasha on the plane of shadows. Good stuff.
Do you have the Zelazny book of short stories Dilvish the Damned? A good story in there is about the shadow plane.