Study light source and color theory? What kind of shading are you doing? Are you rendering in pencil or in paint?

Shading is bascially just rendering whatever it is you're drawing/painting. You're making it a 3D shape rather than something flat. An understanding of forms and light/shadow is importante. Basically, you want to have light values and dark values. Contrast, if you will. That said there are a lot of different ways to shade, and I'm horrible at explaining it!

I'd look up some shading techniques and look at art you're fond of to get an idea of how others render and try to apply that to your own work. Maybe start by shading shapes, like cubes and eggs. I know that's what I was always told to start out with.

Are you talking about traditional shading? Or digital shading?

Well if its traditional than I started out by looking at photos and copying the shading from there, eventually you will start to understand where shading normally goes on Drawings, if your drawing humans they usually have shading in specific places, but depending on which way they have their head and body, and the light circumtances the shading can be different. 

I would suggest starting out by using shading from photos, like drawing pictures from magazines. It's also a good idea to put a shadow on the ground depending on the way they are standing and from what direction the light is coming from.

This all applies to animals as well, just look at some pictures of animals and you can get an idea of where the shading is.

Don't be scared to shade alot and make it very dark! I started out by only putting some shading in or making very light. But when you make the shading really stand out it makes the picture look so much more realistic and alive :)

Once you get good at traditional shading you will find it a lot easier to do digital shading, because you will know where it should go. 

Referances: Well my mum is an art teacher and she taught me shading to start with and I've been getting better ever since.  

I'd recommend just getting a few things, really simple things, like Gravy suggested. Things like a small ball or a cup or something. Maybe even buy a set of those wooden shapes they have at art stores. Set 'em up with one or two light sources and go from there, drawing exactly what you see.

They did it that way at the very beginning of the drawing cla-ss I'm in this year, and it worked wonders. I never knew it, but I had absolutely no idea how to shade before.

The simplicity of it just takes out all the other variables and allows you to focus entirely on what you want - shading. And the fact that you're looking at something that's actually in front of you always helps all the more. Makes it so you can walk around your subject for different angles, and you can see it in better detail than through a photo. Minute detail can really help push a shading job to feel convincing.

Granted, you will eventually have to study other forms and whatnot - like Mich said, there are often patterns in shading more complex things. But take it all in stride. ;o It may not work if you try cramming too much into your head at once.