Shadows add a lot more realism to Second Life, and as a result, many people wish to enable them. Sadly, however, there are major issues with shadows, for many people.
Shadow code in SL viewers is still experimental. In general, it does not work reliably, in some cases can have unexpected and even bizarre side effects - or for some, it will not work at all.
If you wish to try shadows, then you need to have at least medium to high end video card. They really tax the GPU (Graphics Processor). You need to have Advanced Lighting Model enabled in Prefs > Graphics > General; then you can enable shadows. Once you do, keep an eye open for side effects. For example:
You will also find yourself lagging a lot more than usual, unless you have a very high end system.
Some ATI/AMD graphics drivers may not render shadows correctly. See this page: ATI drivers that are known to work.