Well…
Don’t use shadows because they are the enemy of performance: http://www.html5rocks.com/en/tutorials/canvas/performance/
But, you can get shadowed results without using shadows!
You can dramatically speed up your draws by saving your objects as cached images. Below is a comparision of drawing with shadows versus drawing a cached image. Drawing with cached images is hundreds of times faster then drawing with shadows.

Here is code and a Fiddle: http://jsfiddle.net/m1erickson/7YcaC/
<!DOCTYPE HTML>
<html>
<head>
<style>
body { margin: 0px; padding: 20px; }
canvas { border: 1px solid red; margin:10px; }
</style>
<script type="text/javascript" src="http://code.jquery.com/jquery.min.js"></script>
</head>
<body>
<p id="shadow">Redraw using shadows</p>
<canvas id="myCanvas1" width="220" height="120"></canvas><br/>
<p id="cache">Redraw using a cached image</p>
<canvas id="myCanvas2" width="220" height="120"></canvas>
<script>
var canvas1 = document.getElementById('myCanvas1');
var context1 = canvas1.getContext('2d');
var canvas2 = document.getElementById('myCanvas2');
var context2 = canvas2.getContext('2d');
// create a cache image of the shadowed rectangle
draw1();
var image=new Image();
image.src=canvas1.toDataURL();
var t1=new Date().getTime();
console.log(t1);
for(var i=0;i<100;i++){ draw1(); }
var t2=new Date().getTime();
console.log(t2);
for(var i=0;i<100;i++){ draw2(); }
var t3=new Date().getTime();
console.log(t3);
alert((t2-t1)+"/"+(t3-t2));
$("#shadow").text("Redraw using shadows took "+(t2-t1)+" ms");
$("#cache").text("Redraw using cached image took "+(t3-t2)+" ms");
function draw1(){
context1.clearRect(0,0,220,120);
canvas1.width=220;
canvas1.height=120;
context1.rect(10, 10, 200, 100);
context1.fillStyle = 'red';
context1.shadowColor = 'black';
context1.shadowBlur = 10;
context1.shadowOffsetX = 5;
context1.shadowOffsetY = 5;
context1.fill();
}
function draw2(){
context2.clearRect(0,0,220,120);
context2.drawImage(image,0,0);
}
</script>
</body>
</html>