In this song, he starts out remembering the past - when he "was burned by the touch of her hand" - and I think he's remembering his past with Stevie. "The setting of the sun" might be referring to the end of their relationship - when Lindsey could see it coming, but hoped to death it wouldn't happen. He used to be "strong and proud", but Stevie had so much power over him he feels diminished, he's become "less and less." Then, it's over. All he has is the memories "scorched in the sand". He's alone, "the lonely man." But the fact that it might really be over, forever, still "scares him to death." When the sun goes down, there's nothing left of the shadow.
I think he's brokenhearted over his break up with Stevie, he's still hurting over it. He feels "less and less". He feels he's been burned that's why he says the touch of her hand burns him. I also think this song is closely related to his song, I'm So Afraid, and Stevie's song, No Light, or Planets of the Universe. In I'm So Afraid, he says "days when the rain and the sun are gone..." And in Planets, Stevie sings, "Ooh, but I'm afraid, soon there will be no light..." So now he is a shadow, not all dark, he is gonna make it. It seems like shadows have followed all the way through their love affair, one minute they are in the light, the next, they are in the dark. It's not always perfect. I see them now on this 2003 tour and wish they were married. Maybe Lindsey is saying, he's afraid of the dark. Or Stevie is afraid of the dark. But Lindsey says to Stevie, "It was only a shadow..."
I think Shadow of the West is about California and the fakeness of it all. I mean, he has made pokes at cities before, like the song he wrote on Mirage about New York.
In the first lines about dancing ever changing sand, he seems to be talking about how exciting the entertainment industry is. The sand is referring to the desert climate, but also to the sands in an hourglass. How the performers spend their time in the limelight and go away very quickly like sand in an hourglass. In the second line, he seems to be talking about being burned by the sand. He thinks his career is over and it scares him to death that he may just be passing through to the bottom of the hourglass.
In the second verse, he is referring to his being strong and idealistic at one point. Then he talks about being desensitized by the whole industry, the fast pace, the drugs, the commercial penalization of good art, and a variety of things he never thought he might become being a rock star.
The last verse seems to be talking about the sunsetting of his career. When this album came out, Tusk was a couple of years back and was a commercial failure. His relations with the band were strained and his relations with the label couldn't have been much better.
Over all, the west could also mean the pioneer spirit. He was a musical pioneer in Tusk and was comparing himself to a musical pioneer staking new ground. He only found himself with his career in jeopardy because he didn't fit the predefined image that was made for him by the industry.
In fact, if you think about it, the whole Law and Order album was a slap in the face of the music industry and everything they stand for.