If you like black metal their first album
Bergtatt is absolutely necessary. Progressive black metal like no other. Their third,
Nattens Madrigal, is much more pure unrelenting black metal (read:non-proggresive), though from what I hear its a masterpiece of the genre. If you like the dark folky acoustic side of black metal (or cold scandinavian-like folk music) then
Kveldssanger is sure to please.
As for their non-metal works...Blood Inside is a good next step. More energy/wildness than Shadows, but probably my favorite album from them. If you want something a little more similar to Shadows..., the soundtrack Svidd Neger I find to be excellent (much better than the rating on the site leads it to be) and their EP A Quick Fix Of Melancholy is fantastic as well.
Perdition City - Music To An Interior Film and Themes From William Blake's The Marriage Of Heaven And Hell are both excellent as well and can replace Blood Inside in my above recommendation, though perhaps BI is a better place to explore first. (Really a judgement call as to which of these three is the one you should go after first IMO.) This leaves Lyckantropen Themes...a very different album...much more minimalism influenced, though still plenty of thhat Ulver feel. It is a bit on the calm side (like Shadows...) so perhaps you will like it more than me. (Not to say its a bad album, I just find the rest of their work more enjoyable at this time).