The first time I read the book, I really wished Neil would stop going off on tangents about all the gods. In all my rereadings since I've enjoyed those tangents a lot more because I know how the main plots going to go and can just relax and enjoy those stories. Still don't find them as interesting as the main story, but to each their own:)

I think the thing you have to keep in mind about Shadow is that he spends almost the whole book in a state of grief and shock. This actually works fairly well when you're dealing with gods (and more cynically, furthers Gaiman's plot), though it's frustrating for the reader. Since he's basically Balder, I think this characterization suits him too since Balder's biggest story about him is about his death so if Shadow were to fight against that death, it would be out of character. *shrugs*