You see my friend, the sun is a deadly laser. Anything that comes into contact with this deadly laser will receive a fraction of it's atomizing heat. Thing is, not everything on this planet is hit by the sun's mighty beam. Shadows mark these areas untouched by the sun's deadly lasers. Since these spots are untouched by the sun, they manage to keep cool.
Any surface absorb light which turn to heat. Shadow is absence of direct light therefore surfaces in shadow, and therefore not in contact with direct light, cannot absorb light and therfore experience less heat in shadow. Less relative heat gives cooling sensation.
I want to assume this is a joke but I'll answer seriously anyway, black stuff will get hotter in the sun do to the color absorbing all the light instead of reflecting it. Where as shade or shadow is an absence of light so there can't be any heat from light as no light it present