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EDIT: This is to highlight the points of why I think Shadow and Sonic are both great characters for different reasons.
Shadow:
1. His speed exceeds the light barrier as opposed to Sonic who can only exceed the sound barrier
2. Unlike Sonic, he's not chicken when it comes to using actual weapons particularly guns, being only one of two major playable characters to do so, the other being the avatar in Sonic Forces
EDIT: Oopsie. As was pointed out by 2 other people below, Shadow and the Avatar aren't the only characters who use guns: when I first wrote this post, I'd completely forgotten about Omega and Gamma. Tails also uses a plasma blaster in Sonic Battle, but I didn't know about that as I haven't played Battle yet at time of writing.
3. Unlike what this a.sshole with poor grammar skills incorrectly thinks, Shadow is not a f.ucking emo. Emos are creepy d.ouchebags who listen to s.hitty music all the time, are obsessed with pain -usually their own- and who cut themselves for fun. Shadow was upset at Maria's death because who wouldn't be upset if their girlfriend was murdered? Not to mention he was in suspended animation for 50 years, during which time Professor Robotnik (who was even more distraught at his granddaughter's death) tampered with his memories to make him hate humans so he'd carry out his plan. When Shadow is awoken by Ivo Robotnik, Maria's death to him may well have felt like it happened just yesterday.
He gets better from this at the end of the game and remains this way. He only regresses a bit back to hating humans in his game because A. he had amnesia and B. Black Doom and to a lesser extent Eggman were planning on manipulating that to further their own ends, the former of whom actually intended genocide and turning Earth into a farm/butcher shop specialising in long pork. At the true ending of Shadow's own game, he gets better and stays better, to the point that he actually now works for GUN, the organisation that killed Maria to begin with, even making peace with its Commander, who went through a similar experience to Shadow and who blamed him for Maria's death, only growing out of it when it becomes clear that Shadow has no memory of it and Gerald was actually good before her death, intending to stop the Black Arms when they came back.
(Free Riders and Sonic Boom don't count because the writing teams for those two things got it wrong and Boom is non-canon anyway)
Shadow also never cries. The closest he comes is ONE and precisely one tear when he remembers what Maria really wanted at the end of Sonic Adventure 2. The guy I'm quoting is mistaking Shadow for Infinite, a much more accurate description of what he's saying, especially as Infinite was intended as a counterpoint to all this "Shadow is emo" bulls.hit propaganda to begin with.
4. Shadow is freaking immortal. It isn't clear if he can actually still die from non-natural causes like burns, getting shot etc. or if that's just a gameplay limitation, but many seem to forget his birth was to make an example of the "Ultimate Life Form" i.e. someone who can never die, at least not naturally, has excellent recovery time, and is strong & fast. The chaos powers from both the emeralds and his own will are simply holdovers from Black Doom, as he donated some of his blood (and by extension his DNA) to create Shadow. His appearance is based on the mural in Angel Island's Hidden Palace of Sonic fighting Robotnik's grandson, after Gerald's attempt to copy Perfect Chaos with the Artificial Chaos (I think) and the Biolizard failed.
This means that while Shadow technically is copying Sonic, Shadow actually came first and is still the original as he was created at least 35 years before Sonic was born so... *blows raspberry*
5. Sure, the Ultimate Life Form doesn't need to use guns as he has so many colorful powers to do the same things, but he chooses to for the same reason Solaris and his subconscious mind (Mephiles) tend to favour overly complicated ridicules plans: Using their easy options too many times would take the fun of out their work, like doing a Vidmaster run of Marathon Infinity with God mode on. And Solaris plus his split personalities can simply reverse time and/or take direct action whenever he gets tired of playing and the gloves really come off (e.g. when Mephiles kills Sonic).
This means Shadow's use of firearms is a deliberate limitation to give himself a challenge, resorting to his usual powers when things go south or he really gets a taste for blood e.g. filling up the dark gauge and using Chaos Blast.
6. Going by Koji Yusa's best performance instead of Jason Griffeth (who is Shadow's best English voice), Shadow's stoic personality comes across clearly, as no matter the situation, whether before or after he gets over Maria, his tone is always cold, calm and matter of fact, as if he's coping with everything by simply sounding indifferent, regardless of how he actually feels. This makes his burn against Sonic in their first fight even funnier:
Sonic: "I finally found you, you imposter!"
Shadow: "Imposter? Aren't you supposed to be the fake one here? No, aren't we on entirely separate levels to consider you a fake?"
7. Since Maria died, he doesn't care AT ALL about sex or the reproduction from such. Don't let shippers tell you otherwise. His deliberate asexuality is perfectly normal for a being of his ilk, as Gerald made sure to design the Ultimate Life Form to be able to reproduce asexually if the need arose, through spores. This is implied with Artificial Chaos, which can split themselves apart and presumably multiply through a mix of nanites (for the mechanical parts) and cell divison, like a giant virus, and couldn't be clearer with the Biolizard, whose attacks include weaponising his own "egg" like spores.
This doesn't mean he can't feel affection, he just never grows attached to anyone since Maria was his first and she died, so it might be he doesn't want the same to happen if he gets too emotionally invested. Plus he can reproduce asexually anyway so it's a win in his book.
Bonus Round! 8. Shadow doesn't predate other bada.ss characters like him such as Marcus Jones from Marathon, the Doom Slayer, Samus Aran, BJ Blazkowicz, Gordon Freeman or John Carver 117 AKA the Master Chief*, but he may as well have been inspiration for some of their modern potrayals like BJ in the latest Wolfenstein games starting with New Order, even though if that applies to Samus it's likely more his Cosmic Fall Hero Ending for Other M's characterisation of Samus.
(*The Chief's surname is both speculative and isn't related to Dead Space's one as I came up with it when I was a kid-around 2007- and have never played Dead Space, at least not yet at time of writing)
Sonic:
1. It just wouldn't be Sonic the Hedgehog without him. He was made to stick it to overly cutesy mascots like Mario, Rayman or Blinx. (all good in their own ways) While he is depicted as looking cutesy in some Japanese promotional material, that's because it's normal over there to depict characters who are meant to at least look cute as such, at least in advertising. Compared to the west where Blinx sports an angry grimace or BJ Blazkowicz "bring it on!" smile in his box art for the 2nd and 1st games respectively, or Kirby appears freaking incensed on the Kirby Air-ride box.
It's thanks to Sonic we have other bada.ss characters with attitude like Jazz Jackrabbit, Earthworm Jim (at least in 3D, which is the only EWJ game I've played), Duke Nukem, Lo Wang (2013 incarnation), Deadpool (unless you count his debut in New Mutants issue 98), and Shelly "Bombshell" Harrison.
2. Classic Sonic isn't clear on the characterisation front in the actual games due to engine limitations preventing him from speaking (and the only reason he remains mute in modern depictions is because Sega weren't able to get Jaleel White in time to voice him, at least in English for Generations) so you can pick whichever animation series where he does speak you wish for that. I personally go with his Adventures of Sonic the Hedgehog depiction.
By Sonic Adventure, his personality is made clearer. I go with Junichi Kanamaru's style, though Ryan's isn't bad aside from poor dub scripts and voice direction, and Jason is the best English one:
Sonic simply does what he pleases and acts as the hero because he can't stand people being wronged or in danger for any reason. His overall goals just seem to be to enjoy life to the fullest, use his super speed primarily to just explore everywhere he can and experience/promote both nature and the benefits of modern technology in all their glory e.g. the Good Futures in Sonic CD.
He ends up saving the world constantly both due to the destruction of nature and abuse of modern technology getting in the way of that and his morals. Look no further than the Bad Futures of Sonic CD, the exploitation and angering of Solaris (a mentally unstable god I might add) leading to two separate apocalypses, and the (presumably) 1984 come Half Life 2 Beta Story inspired dystopia similar to Sonic CD and Sonic 2's own Beta story in Forces that shows what will become of the world if Sonic isn't around, considering humanity as it stands IRL, no matter how many good souls there really are just cannot be trusted to maintain and protect their own damn home.
Sonic also isn't afraid to pepper his dialog with English in an awesome and bada.ss engrish accent matched only by Lo Wang from the 2013 reboot prequel of Shadow Warrior. (despite Lo Wang's actor being American) Junichi actually being an English teacher as a side job in between acting gigs really helps, as it shows Sonic may well actually speak both languages in both the Japanese and western dubs except for some reason he just doesn't reverse the languages and use Japanese for coolness in the English dubs (still using English for western non-English speaking dubs).
3. While Sonic seems to disregard love like Shadow does, his valid excuse appears to be that he believes the stereotype of being forced to slow down & settle down if you have a serious sexual relationship and is terrified of being made to give up his lifestyle as it's all he has, His love interest is definitely Princess Elise as is implied with New Sonic, his counterpart to Shadow's Maria Robotnik. Even then despite Solaris's deliberately induced paradox to make the two prevent him going further mad, leading to them presumably not meeting (though there's always Forces 2 or an expansion pack), he would have had to leave her anyway and knows that unlike Amy she isn't able to follow him.
For all we know, he might actually reciprocate Amy's feelings and love her as well as Elise, as she is one of the first people next to Tails to really look up to Sonic as a personal Hero and seems to have hard times without his company:
Tails got bullied constantly for his disability, nevermind that it, like Asperger's Syndrome, is more of a gift than a curse as it lets him fly, and run fast enough to more or less match Sonic's speed, coupled with his genius mind essentially making him a living incarnation of a mythical kyoubi no kitsune, or nine-tailed fox. (That's just plain "kitsune"-literally "fox"- to English speakers)
https://en.wikipedia.org/wiki/Kitsune
Amy's may be more simply an understandable childish desire to meet and be with her hero, and the constant rejection may lead/have lead to her suffering crippling depression without Sonic as a result. Because of this Sonic may even take pity on her; it just wouldn't be him to turn his back on someone in need of help (definition of "help" in this case may vary per person's interpretation).
He may only turn her down constantly and obfuscate no interest in relationships because even if he does like her, he can't bring himself to say so because as was mentioned above, he's terrified of the stigma that being in a committed relationship means giving up having any kind of fun, even the fun of mating wearing off after a considerable amount of time passes. (look at married couples who have children, especially our own parents as examples)
So if Sonic is somehow finally able to break his fear of that stigma and realise it can sometimes be not true, he may well end up having both Elise and Amy as his girlfriends, as the idea of a single mate for most human societies may not apply to morphs, as they were made from irradiated humans mutating and merging with feral animal life after Earth was carpet-nuked to bedrock with dirty bombs mixed with radiation resistant mutagen viruses called Gene Bombs during an interstellar war, (according to the comics at any rate)
This means that the non-human animal concepts of mates is something they are more accepting of, as they were essentially built from such creatures.
4. Sonic doesn't use guns out of principal as he sees them as a double edged sword: on the one hand, they are a necessary evil as they make stopping bad guys far more efficient. This is shown that he and Tails fit the Tornado and almost all their other vehicles with heavy machine guns and laser guided missiles. Sonic X depicts Sonic's use of guns that way more clearly. (Japanese, read: "good" version of Sonic X only)
On the other hand, guns are still an abuse of modern technology in his eyes so he just doesn't use them unless he really has to. And unlike weak little humanity, he is perfectly capable of holding his own without them so it's safe for him to merely avoid all handheld firearms.
I just see it as him being too chicken to use them, as Shadow has no qualms about it and even without his powers he can do the same things Sonic can anyway if he so chooses. Even the avatar and all the other morph soldiers in Forces need to use guns (in the form of morph-built wispons instead of borrowed GUN firearms) as they don't have the same fighting skill as Sonic and many are just ordinary people who are fighting the war against Eggman's regime because they want their freedom and therefore have to.
Despite that, the reason I gave above is a more valid excuse to avoid weapons than simply going "eewww! tools that make surviving a fight easier!"
Shadow and the Avatar aren't the only ones to use guns, Omega has machine guns for hands.
Whoops. I am indeed partially wrong about my second point as I forgot about Omega and Gamma. Thanks for pointing that out.
Also, I don't actually pretend to know more about Sonic than anyone else. Most of what I said in the post is from observations and speculation, some of it influenced by reading up on the games and comics on both wikis (Sonic News Network and Sonic Retro), TV tropes, supplementary materials like game guides, manuals and other things like theory videos.
Unfortunately I can't keep track of all those sources and sometimes I forget where I learned certain things from. The post is mainly just about my own opinions about why I think both Shadow and Sonic are good for different reasons.
I haven't played Sonic Battle, at least not yet anyway so I didn't know about that. Yes, I'm sure blasters count as guns too. They just fire plasma as opposed to bullets, such as the Black Arms weapons in Shadow, or the molten slag bullets used by the wispons (which we only see used in cutscenes).
Not to mention the cork bullets look really slow, at least in mania if he appears before Act 2 begins.
Basically. We never really see Shadow exceed Sonic's speed in game due to balancing, especially in SA2 where they are counterparts for their respective stories. Makes you wonder how Sonic's DNA is able to handle Chaos Control, considering Shadow was based on his appearance in Hidden Palace. Or is it not a genetic thing and you just need to have a lot of imagination and/or thought to generate enough power in the emeralds for such teleportation and/or time control?
Are the emeralds a similar mineral to the Xen crystals and they were designed to psionically resonate with one's thoughts? The world may never know.
Of course. Maybe the Chaos Control organ is due to a mutation in Sonic's DNA? How Silver ends up with it I don't know. The mutation could have been caused by the emeralds, if he somehow ended up exposed to them on one of his visits to South Island and never knew it. That or it formed from overexposure to the emeralds over the course of all the games. Mania and Forces (if Classic Sonic went through them in the original timeline too, besides the Post Generations Classic timeline we actually see in the games.) could have also had something to do with it.
Or if not those, maybe Pocket Adventure and Advance 1, which could have been the equivalent to Mania in the original timeline.