I'm like Wenchkin, I'd prefer to go out and hunt rather than use a shadow elemental for training.
Some of the monsters that I've used over the years for training WWs and nightmares are demons, imps, sphynxes, revenant lions, onis, bake kitsune, rune beetles, serpentine dragons, blood eles, poison and acid eles, dragons/drakes. I think you should see a trend here...mostly stuff that's a bit on the tough side and uses magery. It's also stuff that a well trained nightmare can handle alone (maybe not the paragon versions) if you sometimes want to focus on just your nightmare. You can also hunt stuff like orc brutes, ogre lords, rotting corpses but magic resist isn't going to raise.
I've noticed that imps, while not much of a challenge for a WW, seem to give some nice resist/magery gains. That makes a place like the hedge maze give you some decent gains if you can't get into some other place, although the loot's pretty pathetic. Do it in Fel and you'll get double fame, probably not run into anyone else and it's instant recall out if you do. (Just be careful with the teleporter pad coming out of the house basement...it's easy to get yourself stuck on there in Fel.)
Another possibility is up the hall from Victoria in Doom (to the west) to hunt rotting corpses, liches, and some other assorted stuff. Also, north of the Citadel in Tokuno there's a spot where you can find rotting corpses, liches, and some other undead type stuff that will keep you running around a bit and has a nice mix of casting and non-casting monsters. There are also lots of fun places in Ilshenar.