The children seem to think that it is Boo Radley’s shadow. They are afraid of Boo Radley, because he has been described as a scary monster.
Dill and Jem were simply going to peep in the window with the loose shutter to see if they could get a look at Boo Radley…(ch 6)
When they see a shadow, they assume the monster is coming to kill them. Scout is afraid, and although Dill and Jem don’t admit it they are too.
Then I saw the shadow. It was the shadow of a man with a hat on. At first I thought it was a tree, but there was no wind blowing, and tree-trunks never walked. (ch 6)
Although no one ever sees him, it is likely that the shadow was Arthur Radley. If it had been Nathan Radley, he would have shot at them or yelled at them. Boo, on the other hand, was shy and curious. He would have wanted to see the kids up close, but would not have wanted to talk to them.