I've been a Matt Wagner fan for years, and have enjoyed the bits of his version of The Shadow that I've read, but had missed this one when it came out. I couldn't put this one down once I started reading it, and I highly recommend it, both to Shadow fans and to fans of serious graphic novels.
This one deals with one of the aspects of the original pulps that the early writers tried to avoid...the growing danger to the staff and followers of the pulp characters. Pulp adventurers like The Shadow had a growing group of associates and followers, none of whom were as tough and powerful as he was. This especially went for Margo Lane, who was often in danger, and was so visibly associated with Lamont Cranston, one of The Shadow's main "secret" identities.
So, what happens if she enters a deadly trap that The Shadow can't protect her from?
There are clues in the story as to what was going on, and I loved that, once the mystery became clear, but the possibility of the death of a major character in any series is always there. In this case, where it could refer to either literal or figurative death, it's more complicated.
The book also brings up the morality of the kinds of "mind control" used by both The Shadow and some of his enemies, and the impact of those on the ones brainwashed or controlled. Since this same theme comes up in other pulp stories, like Doc Savage, it's an interesting point of discussion.