The Info on some is not complete as you can see, please email me if you could fill in some gaps for me.  Most info comes from The Shadow Chronicles by Anthony Tollin
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The Margo radio performers
Agnes Moorehead: September 26,1937-March 20,1938; September 25,1938-fall of '39
Margot Stevenson: Summer of '38
Majorie Anderson: fall of '39-April 16,1944 (died the same year)-
Judith Allen: September 24,1944-April 08,1945
Laura Mae Carpenter:?????(performed along side Courtleigh)
Lesley Woods: September 09,1945-May 26,1946
Grace Matthews: September 08,1946-June 05,1949
Amzie Stricland: Time when Grace Matthews had her child
Gertrude Warner: September 11,1949-December 26,1954

Walter B. Gibson (Maxwell Grant)
Writer and creator of The Shadow Magazine and influenced the movies and radio of the same.

Shadow Movies and Serials:
The Shadow Strikes(1937)
The Shadow(1940)
Behind the Mask(1946)
The Missing Lady(1946)
The Shadow Returns(1946)
The Invisible Avenger(1958)
The Shadow(1994)

Actors on the silver screen to portray The Shadow
Victor Jory
Rod La Rocque
Kane Richmond
Alec Baldwin

The Shadow Strikes was intended as a comeback vehicle for Rod La Rocque, a matinee idol during the silen film era.

Producer Clark Andrews created the female character Margot Lane to provide greater vocal contrast with Welles' Lamont Cranston and named The Shadow's "friend and companion" after his then girlfriend, Broadway inguenue Margot Stevenson(who would replace Agnes Moorehead in the series during the 1938 Goodrich-sponsored summer season).

Even though Orson Welles portrayed The Shadow, The opening and closing of the show still belonged to Frank Readick.  Welles never did perfect the trademark laugh.

Little known facts:
 The man who suggested the idea to call the phantom avenger The Shadow (Harry Charlot) was found poisoned in a Bowery flophouse that he had entered under an assumed name.  His murder remains unsolved to this day.

 James LaCurto was the first actor to portray The Shadow for Street and Smith's Detective Story Program begining July 31, 1930.  James left weeks afterwards and was replaced by Frank Readick.  The Shadow often conducted the broadcasts masked so that even fellow actors were not aware of who he was.

 Walter B. Gibson was a magician before becoming a journalist and writer.  Born on September 12, 1897.

 Gibson wrote and amazing 283 shadow novels totaling over 15 million words over 2 decades.

 In the novel "The Shadow Unmasks" The Shadow was revealed as Kent Allard, an internationally famous aviator supposedly "lost amidst a tribe of Xinca Indians in the Yucatan Peninsula at the very time when an amazing personage known as The Shadow first begun to harass America's unwanted gangland.

 Gibson did all his Shadow novels on a first draft basis.

 Shadow actors Orson Welles(The Shadow), Agnes Moorehead(Margo Lane), Ray Collins(Commissioner Weston), Paul Stewart and Everett Sloane all were in the movie Citizen Cane.

 Shadow actors Orson Welles(The Shadow) Frank Readick(The Shadow) Ray Collins(Commissioner Weston) Carl Frank and Kenny Delmar put together the Mercury Theatre production of "War of the Worlds."
Frank Readick played reporter Carl Philips

In 1947 Orson Welles attempted to direct his own film verison of The Shadow and commissioned Charles Lederer to write a screenplay.  Unfortunately, Welles was unable to secure film rights for what would have been the classic film version of the character.

1955 a Shadow Television pilot was written by radio writer Peter Barry and produced by former Shadow director Wilson Tuttle.  Tom Helmore played Lamont, Paula Raymond as Margot, and Frank M. Thomas as Commissioner Weston.  And another television series was attempted in '57 starring Richard Derr as Lamont and Mark Daniel as the mystic who taught Lamont the secrets of invisibility.  The pilot and footage for a second episode was released theatrically as "Burbon Street Shadows" or "The Invisible Avenger"

 Blue Coal sponsored The Shadow for almost two decades
John Barclay of Blue Coal was a fictitious as The Shadow

From: "ALLEN FREITAG"
To: <[email protected]> Save Address
Subject: The Shadow and Orson Welles
Date: Mon, 7 Feb 2000 20:53:20 -0600
 

Just to let you know Orson Welles last portrayal of The Shadow occurred on September 11, 1938.  The name of the Episode was "Caverns of Death."  This was the end of the Goodrich Summer Season of the Shadow in 1938.  The next broadcast of The Shadow occurred on September 25, 1938 with Bill Johnston portraying the Shadow.  This episdoe was entitled "Traffic in Death."

Orson Welles appeared in a total of 41 episodes of the The Shadow as far as I can tell.  Of these 31 are presently available either commercially or on the internet if Radio Spirits hasn't shut theme down.

Of the episodes that starred Orson Welles 26 were sponsored by Blue Coal and the rest were sponsored by Goodrich Tires for which Welles aided in doing the commercials with Ken Roberts.

I hope that this information may prove useful to you