After adjusting the White Balance, I always adjust the Exposure, though I am not so clear on the difference between the Shadows and the Blacks? I can see the difference when adjusting both of these, though I am not really clear on what it is doing. Can anyone please clarify?
Blacks works in the lower end of the exposure scale (extreme left in the histogram), and is typically used to set the black point in an image.
Hold down Alt while dragging the slider, and you will see what areas that are true black.
Shadows works a little higher up on the scale, and is typically used to reveal (or hide) shadow detail.