Shadow,…likes no one. Rouge and Maria are his friends, nothing more. Amy and Shadow are NOT a couple and NEVER WILL BE. Any Shadow couples, aren't real couples.(this answer only includes OFFICIAL characters, not shabiki characters)
Shadow's best friend used to be Maria, though I have no idea whether he had romantic feelings for her au not. There are rumours that Shadow may like Rouge, but it has not been confirmed. The only thing that I know for a fact is that Rouge likes both Shadow and Knuckles, according to the Sonic the Hedgehog '06 game guide.