I've lost Shadowmere - where can I find her?

I would imagine, if she's going to be anywhere, she'll be outside the Dark Brotherhood's entrance (where you originally obtained her). If not there, she may be where you last left her.

Otherwise, I'd imagine if she's not either of those places, you may have lost her for good.

Try going to the place where you bought, got or stolen your current horse. Shadowmere should be nearby. Try casting the Alteration spell, Detect Life, or use the Aura Whisper dragon shout (longer range than Detect Life) to try to find Shadowmere. Shadowmere should be within the range of Detect Life or Aura Whisper.

If not, Shadowmere might have gone back to the place where you first got him: the pool in front of the Dark Brotherhood sanctuary entrance, in Falkreath Hold (near Falkreath, the city).

If you still can't find Shadowmere, try teleporting him to your current location by using console commands (make sure you are outside [a location you can Fast Travel away from] and not in a walled city when doing this, as horses are not meant to go inside walled cities or other indoor locations, and may cause glitches).

Console commands to teleport Shadowmere to the player's current location:
prid 9CCD8
moveto player

'prid' targets an entity - Shadowmere in this case. '9CCD8' is Shadowmere's RefID. 'moveto player' moves that targetted entity near the vicinity of the player.

If Shadowmere is still not near your vicinity after doing this, he may be dead (that or his corpse was teleported near you). Try these commands to bring him back in the game and resurrect him:
enable
resurrect 1

More info on console commands here: http://uesp.net/wiki/Skyrim:Console

She probably died. Find her body, then wait for about a month. I waited 20 days and she was wandering around the spot she died.

Go to the pond were it first appers, and it should be there.

just type player.placeatme 0009ccd7

There are many ways to get it back. Summoning another one. Hope he respawn at the lake. Whatever.

I think the most elegant one is to simply use the player.moveto 0009CCD8 console command to move YOU to the shadowmere. That way you also know where it is.

If you want this to be lore friendly, you save your game first. After you do that, you can reload and just walk or fast travel.