I have noticed that Shadowbox cannot deal with web pages from the current domain when its an index page e.g. just say google.com is the domain calling Shadowbox with a Shadowbox link to google.com/folder/ will open the actual page rather then a Shadowbox, it needs to be google.com/folder/index.php. It works fine when linking to an external index.
The same goes for querystrings e.g. again assuming google.com is the current domain google.com/?test=test needs to be google.com/index.php?test=test but works find for external sites.
Also a feature request would be to be able to set flashvars for flv player via the url that way I could set the poster frame and set things like autoplay on a per video basis. Currently if I place a querystring in a flv video it will not display.
Lastly I had some problems with the Flash detection for IE6, works most of the time, though had a case with a machine that had Flash installed (I know because there was other Flash content on the page working) though when I open the Shadowbox it says the Flash plugin could not be found, I set the flv element within the plugins array to true in the script and it worked, but as expected on machines who actually don't have Flash installed a red cross appears.