The first option for how to shade in Illustrator uses blend modes. We'll be working on a blank head to add one highlight and one shadow using this method.
1. Create and/or select the object you need to shade with a shadow or a highlight. This could look like anything, so we'll just use a rectangle to demonstrate. (Click any image for a larger view.)

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2. Create a shape filled with the color of the object receiving the shade. Give the shaded area no stroke.

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3. With the lightening object selected, open the "Appearance" panel. Set a Gaussian Blur, set opacity to a 60% screen. You don't have to use the settings listed here: it's up to you to choose the best look for your project. You can also try using "Hard Light" or "Soft Light" rather than "Screen" for your blending options.

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4. Change the opacity or the color of the top object if the lightening effect is too intense.
5. To do a create a shadow effect, the process is about the same except that you have to choose "Multiply" rather than "Screen" from the opacity blending type. This makes the area of the object darker rather than lighter.

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Using these shading techniques in Adobe Illustrator, you can introduce highlights and shadows in all your artwork using blending techniques. Now let's take a look at how to shade in Illustrator using tint gradients.