The Retrograde Shadow is the span of the zodiac where a planet goes retrograde, between the retrograde station and the direct station. (Note that this is totally separate from the Psychological Shadow that was explored and defined by psychotheorist Carl Jung.)
When a planet turns retrograde, it "retraces its steps," so to speak, and appears to travel backward until it turns direct. It therefore moves through that area 3 times: first direct, then retrograde (backwards), then direct again. This arc is called the retrograde shadow.
It typically refers to transiting planets; most commonly to Mercury retrograde. It doesn't usually refer to natal or progressed planets.
If a transiting planet, while in the shadow, makes an aspect to your natal chart, you will have three passes of that transit. This generally means the events and experiences you encounter during this 3-part transit are usually deeper and more complex than they are on the surface. These will evolve and unfold during the time that planet is in the Shadow.
See also: Direct, Retrograde, Stationary, Transit. See also the article series on Retrograde Planets, including one article specifically on the Shadow and Stations.