I really like the word "Shadowfell", it has so many possible meanings, and they're all cool.
The meaning of "Shadows" we know, but the "fell" could be so many things.
From the Middle English fel, from which we get felon, :1. Of an inhumanly cruel nature; fierce. 2. Capable of destroying; lethal. 3. Dire; sinister.
From the Old English fell: 1. The hide of an animal; a pelt. 2. A thin membrane directly beneath the hide.
From Old Norse fell, fjall, meaning mountain or hill, we get: 1. An upland stretch of open country; a moor. 2. A barren or stony hill.
So the Shadowfell could be: 1. evil Shadows (my least favorite), 2. A membrane of Shadow, directly beneath the world, and separating our world from the land of the dead, (very nice, very evocative), or 3. The Shadow Hill, or the Shadows beneath the Mountain (also cool).