The Hero's Shade is the ghost-like character in Twilight Princess that teaches you the hidden skills. Also, some people believe that he is the Hero of Time.
The answer above describes WHAT the Hero's Shade is, but the question asked WHO the Hero's Shade is. My money is on OoT Link spent years searching for Navi, never found her, returned to Hyrule, died decades later regreting that he never found her, and he became the Hero's Shade to reconcile never finishing his quest. Maybe. My money is on it being the OoT Link, the rest was just fun to write.
It is confirmed in Hyrule Historia, that the Hero's Shade from Twilight Princess is actually the deceased form of the Hero of Time (the Link from Ocarina of Time and Majora's Mask). Timelinesplitter 01:23, June 26, 2012 (UTC)