who responses first at the "out of shadow" action?

It is the player on the left to the left of the person who brought the card out of the shadows.

That's from the FAQ :

Who gets the first opportunity to play a
response?
If the response is to a player action, the player
to the left of the person who initiated the
action has the first opportunity to respond.
Response opportunity then passes clockwise
around the table. Note that responses to
bringing a card out of Shadows are handled in
this fashion, with the player to the left of the
person who brought a card out of Shadows
having the first response opportunity.