Since I have more-or-less every regular item I really want and am really just hoarding CE/Money/UVs now I've been considering trying to start doing some Shadow Lairs (mostly because Mercurial Demo seems like the next logical step for me) and was wondering how hard they are.
From the few videos I've seen they look to be on par with the Danger Missions in terms of difficulty.
Edit: And are the end-materials given to everyone or just a random person?
End materials are found in the Sanctuary. Everyone gets one, so long as they haven't left the party before they get there.
As for difficulty, it depends on what gear you're using. A Mad Bomber is going to have a rather harder time in UGWW than someone wearing Dread Skelly, unless they're fifty shades of pro at dodging, and you're going to want a decent party to run with. Bombers are generally extremely useful in Shadow Lairs, since all of them have enough mobs to require some kind of crowd control.
The usefulness of Mercurial Demo is debatable, since it gives up half the damage bonus of Bombastic in exchange for MSI Low, meaning you can't max damage and CTR without having VH UVs on every single one of your bombs. Its shock resistance is pretty useful, though.