There's a new encyclopedia of Old Time Radio out now, a pretty good book that I thumb through whenever I go to the local Borders book store. It's about $50 if you wanna buy it. It will have a list of all the Shadows, I'm sure.
I believe Welles was the first to play him as a character, inside the stories, so to speak. Frank Readick Jr. originated him before that though, as a host of crime stories, sort of like Welles in THE BLACK MUSEUM or Hitchcock on his TV show (BTW regarding the other thread, I can't believe they're "resurrecting" Welles to host MUSEUM again - hope it's not as tasteless as those John Wayne and Marilyn Monroe commercials). Welles reportedly borrowed Readick's sinister Shadow laugh for the show's intro.
Speaking of Frank Readick Jr., he later joined the Mercury Theatre, giving a tour-de-force performance as the doomed Carl Phillips in WAR OF THE WORLDS. He became one of the Mercury's key players, giving many other good performances for the Campbell Playhouse series. He was supposed to be in the HEART OF DARKNESS film, but did not appear in CITIZEN KANE. In fact, he only appeared once in the movies for Welles, as Agnes Morehead's henpecked husband, Mathews, in JOURNEY INTO FEAR (the guy that offers Joseph Cotton the sharpened umbrella as a weapon). One of the Mercury's unsung heroes.