There are many theories. To get it out of the way, skeptics think they are figments of people's imagination, psychological manifestations, and whatnot. People who do not summarily dismiss the phenomena have a variety of theories about what shadow people are and why some individuals have seen them.
Most interesting is the fact that almost all belief systems and schools of thought view shadow people as evil beings. In fact, people I have interviewed who have beheld a shadow person up close have described the experience as extremely frightening and that they had the overwhelming feeling that the shadow person was malevolent in nature.
Another interesting point is that almost all reports of shadow people indicate that the outline suggested a tall male figure, not a feminine being at all.
One of the simplest and most common explanations for shadow people is that they are ghosts. Why the living can only see them in shadow form is a subject of debate and great speculation. Are they people who were particularly horrible in this life? Could it be that they were serial killers, even? Others speculate that shadow people are evil spirits who have never possessed bodies or lived on this earth, but instead go about trying to terrorize humanity.
Another theory about shadow people is that they are ultraterrestrials. When they are viewed in shadow form, these mysterious beings are closed to coming through the veil or partition that separates our dimensions. Something about a specific geographical location features a thinning of that stuff that keeps these creatures normally not visible at all, which would help explain why some buildings or even pieces of land are more popular for reports of shadow people sightings.
What I find to be the most interesting of the explanations of the shadow people phenomena has to do with astral projection or psychic remote viewing. This entails a person with psychic abilities being able to separate the spirit from the body, then travel around in that spirit form to view other areas that normally aren't accessible (such as secure buildings) and maybe even to act on the physical plane through telekinesis. These people claim that when a person's spirit leaves the body like that, it manifests as a shadow and can only be seen by a few people who are psychically sensitive.