I don't know that I have much to add that hasn't been said before about Shade:
*It's more of an interactive short story than an adventure game.
*It's reminiscent of The Twilight Zone.
*It's generally well written.
*Your mileage may vary with the ending.
*It's sometimes hard to tell what you're expected to do next, even when you're holding a checklist.
*(Spoiler - click to show)SAND!!!
Essentially it's good and worth the short time it takes to play, but also potentially frustrating depending on what you expect from interactive fiction/text adventures.