I think one of the most interesting questions is whether shadow magic is a 'divine power' or not. Its something that hasn't quite been answered clearly yet (as mentioned in the Shadow Religion link Shadow-cleave posted).
If Shadow truly is the polar-opposite the the Light, then it could be reasoned that there would have to be divine figures or avatars behind the Shadow, much as the Naaru serve for the Light. The Old Gods have struck me as a potential candidate for this role, seeming to embody the Shadow's characteristics of "Despair, doubt, and panic" (Source:
http://wowpedia.org/Cult_of_the_Forgotten_Shadow). Sounds very much like the Sha in particular, doesn't it? Another one of my speculations is Dark Naaru. The only one we've seen in game is Mu'ru, and his condition is a result of having the Light drained from him, but it can be hypothesized that there may be other Light-devoid Naaru out there, and we've just yet to meet them.
Regardless, the speculation is one of the things that interests me the most when it comes to playing and RPing my shadow priest
. I, and as an extension my character, hold the belief that all shadow magic derives from the Void, and thus does not hold divine properties to it. My reasoning behind this is that there are various users of the power that all hold different stances and beliefs. Warlocks, worshipers of the Old Gods, and Priests of the Forgotten Shadow have all been shown to use shadow magic, but do not follow the same doctrine.