I was just playing The Hunt for Gollum again and I had an interesting experience when Pursued by Shadow came up as a shadow effect. The shadow effect is to return an exhausted ally to your hand. In this instance I had just quested with Gandalf and I had the opportunity to place him back in my hand and then play him again the next turn, very nice thank you!
So I'm interested to know, are there any other unique circumstances where a treachery or shadow effect has actually aided you in the game rather than hindered you?