I just wanted to point out, since no one has mentioned it yet, that in his conversation with the Shadow on the World Tree, Horus states that, "I am the sun. And you are the sun." A little later, Horus says, "You are the shadow. I am the light."
If we can trust Horus' intuition, which is slightly suspect because he is a "madman", he recognizes in Shadow a similar affinity with the sun, which fits with Baldur. Also, the vigil for Wednesday doesn't kill Shadow, much like several other events that should have killed him (going under the ice trying to open the trunk of the klunker, fer instance) also do not, "shadowing" Baldur's immunity to harm from everything but mistletoe.
I think Shadow is closer to a demi-divine reflection of Baldur that the actual person of Baldur, himself. But he's definitely not just a human guy who happens to be one of Wednesday's children.
Haven't seen this insight yet. Is there any supernatural being in American Gods more (metaphorically) blind to what is going on than Shadow? Shadow is certainly an analgam of several supernatural beings; perhap's Baldur's (blind) brother Hodr is one component.
A revision. Shadow is an amalgam of several gods, but first and foremost he is all of Odin's sons in one. He is as tall, strong and steadfast as Thor, he is as fair and beloved as was Baldur, and he is as blind to who he truly is - and how special he is - as Hodr was physically blind.