You've outlined two very good and very different games. I own both and enjoy both for different reasons. I will preface my comments by saying, I'm not a very good pinball player.
The Shadow can be brutal in terms of timing. The targets accompanying the left ramp can send the ball SDTM if your timing is just a little off. Good nudging skills are a must to prevent the SDTM drain off the lock shot. The mode start is tight and the Khan saucer a challenge to hit. With that said, when you're having a good game it is extremely rewarding due to its difficulty. It definitely has the "just one more game" feel especially when you're one mode away from completing the scarf and you're saying, next time I'll get it! The integration with the movie theme is spot on and the Aurich art package compliments the already excellent artwork. The sound and callouts are excellent especially with an aftermarket speaker upgrade and the flow on fresh wax can be blindly fast. I've yet to beat the wizard mode and only gotten to the wizard mode a few times. (Again, I'm not a great player) But, the next time I play, I'm going to beat it.
Twilight Zone really hit the theme dead on. Ball times are much much longer, at least for me, than The Shadow. Personally, I've had better success getting to LITZ than I have getting to the wizard mode on Shadow. Twilight Zone has a great variety of shots and some unique attributes such as the power ball and mini-playfield. Twilight Zone for me is a slower game (when the power ball is safely in the gumball machine). That inner loop on the Shadow can really get the ball screaming. Twilight Zone is a modders paradise (if you like to mod your games) which can be both good and bad depending upon your perspective. I plead guilty at adding a number of mods to mine. I was lucky enough to find an undocumented HUO game about six years ago and for me I have to admit it would probably be one of the last two games to leave my collection as I love the overall package that much between the toys, the shots, and the callouts. A significant part of that however, is that I love the theme which may or may not factor into your decision.
I really think either choice will buy you an enjoyable and challenging machine. The real decision is what kind of gameplay appeals to you and pick the machine that amplifies that. I happen to like W?D while I have friends that can't stand the machine and wonder why I keep it. At the end of the day, the only opinion that really matters is the person who is trading hard earned cash for a source of amusement.