The "Shadow Man" (internally called "Thing") is a malicious creature whose origins are unknown. Its first known appearance was in the Alpha 3 build, where it looked like a little kid. In the next Alphas and Betas, it appeared in all of the Fear rooms. However, due to the Beta 1+2 engine break, its identity likely changed (what caused a wave of criticism). The present iteration suggests the "Shadow Man" represents fear. However, in the Beta trailer, Mr. Peterson and the player were hiding from it, thus it must have been something alive. A very common theory is that it is the devil. Another common theory is that it represents Mr. Peterson's conscience, or maybe Aaron (Mr. Peterson's son), who was imprisoned in the basement by his father.
Role in Final Release
The "Shadow Man" appears again as a major character in the full release, so major that it's the final boss.