We find it pleasing to depict shadows as slightly cooler because the shadows we are most familiar with behave this way; those cast on a sunny day outside. Daylight from the sun is a strong source of yellow (warm color) while the remaining sky is a source of blue (cool color), and it is the sky's ambient light that you see when see a stark shadow cast by the sun, which makes the colors seem cooler in contrast with sunlight areas.
http://androidarts.com/art_tut.htm - this link touches a bit on color theory from a digital-painting standpoint, though it's pretty applicable. Color and Light for the Realist Painter by James Gurney is also a good book that has some info about creating unified palettes.