I came across a CD collection of The Shadow radio shows that was made by Radio Spirits. It is a great little collection of 10 CDs with 20 episodes. They feature episodes with Orson Welles, Bill Johnstone, John Archer, and Bret Morrison as Lamont Cranston/The Shadow. Each of these men played The Shadow on the radio show, so it's nice to have a selection from each actor. The episodes have all been digitally remastered to improve the sound quality of these old recordings.
Another nice feature of this collection is a small 32-page booklet on The Shadow radio show. It's entitled, The Shadow: Radio's Greatest Man of Mystery and was written by Shadow scholar Anthony Tollin. For a little booklet, it's chock full of information on The Shadow radio and pulps.
I got this collection off of eBay and it was in very good shape. If you want to listen to The Shadow radio episodes, I highly recommend this collection!