My headcanon of Shadow likes guns to a comical degree.
He uses his entire salary as a G.U.N. agent to buy guns. He goes to gun stores and leaves with comically large bags full of guns. Every gun store manager in the country knows him, as he needs to go around to find the specific guns he wants.
He puts them all in his gun warehouse in the middle of nowhere and spends a lot of time maintaining and testing them. He has all sorts of guns/explosives/traps for every sort of situation.
He has sidearms, assault rifles, snipers, shotguns, machine guns, LMGs, rocket launchers, grenade launchers, tazers. He has beanbag rounds for non-lethal situations, EMP rounds for dealing with machines, AP rounds for getting through heavy armor, incendiary rounds for setting shit on fire, explosive rounds for breaching, Hollow-Point rounds for killing fleshy creatures. He's got stingbang grenades, frag grenades, High-explosive grenades, smoke grenades, flashbangs, flare grenades, tear gas grenades, chemical grenades, electrolytic vapor grenades. Snare traps, explosive traps, shock traps, breaching charges, claymores, acid traps.
He will put it all on his bike and use it all in his mission. In contrast to Omega, who usually destroys an Eggman base by going full guns blazing, Shadow is more reserved. If it's an oil refinery, he'll set it on fire from afar. If he can't do that, he'll hurt the supply lines to destabilize the base, then he'll smoke out all the egg pawns using coordinated explosions, so they will all funnel into a narrow chokepoint where he can gun them down with a stationary machine gun he had installed hours earlier.
Sure, he could just teleport in and chaos blast everything, but that's not how professionals work, and he wouldn't be able to use his guns.
He will steal Rouge's hard-stolen gems, sell them, and use the money to buy guns, and then tell her he'll pay her back, knowing full well that he never will. He is the ultimate gun form.