These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Awesome Music: "Omphale's Spinning Wheel" by Camille-Saint-Saens. "Who knows what evil lurks in the hearts of men?"
Fair for Its Day: While many parts of the pulps are horribly racist, the Shadow is also notable for having an Asian and an African-American as agents at a time when they would usually have been villains or useless.
Family-Unfriendly Aesop: The radio episode "The Spider Boy." Thanks to Values Dissonance, we are told that Domestic Abuse is a minor peccadillo that can be solved simply by apologizing to the victim...but that owning an unusual pet (a large spider) that at no time harms or even threatens to harm a human being is a horrific crime deserving of a Karmic Death.
Lamont's nightmare that he tears off his own face, revealing Shiwan Khan's undeneath.
Come to think of it, Shiwan Khan in general. Any guy who can hypnotise you into killing yourself and does so for fun is pretty NF.
The Phurba is pretty scary as well.
Older Than They Think: This applies to the action figure line that accompanied the movie. One would believe that Dr. Mocquino, the Voodoo Master, was a toyline-specific villain, but he did, in fact appear in the pulp magazines and radio show.
Special Effects Failure: In the establishing shot on the bridge, the Shadow's long cloak is supposed to ominously billow out behind him, but he isn't wearing one. This is because the cloak was intended to be a CG element, but there wasn't time to composite it in.