I answered before, but here's another attempt.
The answer could be
We can come day or night
In darkness or light.
Obviously during the day, but unless it is 100% dark you will always technically have a shadow even if you can't see it.
Sometimes in pairs, sometimes more
Multiple light scources can cause multiple shadows
We sneak up on you as you move for the door
If you have a lamp above your door the shadow will be cast behind you. As you move closer to the door and lamp the shadow will shrink until being fully beneath you when you are standing directly under the lamp.
We can put on a show but we won't have control
Plenty of ways for light to create dancing shadows, for example a (camp)fire will create a show of shadows. The shadows are oviously not in control themselves.