At one point during the Shadow's rescue attempt at the Federal Building, Shiwan's men track him by looking for his Shadow and pin him to the wall with crossbows. In return, the Shadow appears, looking like he just came out of the wall, and blows them away.
Shiwan Khan's escape from the restaurant.
Prior to that, Shiwan and Khan shooting at one and other, the bullets collide in midair. What really sells it is their reaction to the entire thing as they were in awe of how something like that could happen.
At the end, when Lamont finally understands how to master the Phurba and uses it against Khan.
The intro and outro of the radio show, but especially the rarer outro: "The weed of crime...bears...bitter fruit. Crime does not pay. The Shadow knows..."
In The Salamanders, The Shadow single-handedly takes down a small army of thugs running a locomotive laden with dynamite, riding the train almost right into a burning train depot. He escapes just before the dynamite explodes, destroying the depot spectacularly and also creating a firebreak that keeps the inferno from reaching a number of apartment blocks. This was his plan.