Setzer was far cooler than Shadow. Who had the airship? Setzer. Who had the casino on said airship? Setzer. Who threw playing cards, dice and darts as his weapons of choice? That's right, Setzer. He was the man. Booya.
Dice and cards are awesome, and I will hear no arguments! Plus, Setzer's "Slot" command was the only cool version of it to ever be featured in a Final Fantasy game.
Setzer's tune is more upbeat, and I do tap my foot to it. However, the main instrument in Shadow's theme is a whistle, and that is too cool. It reminds me of Frog's theme from CT(even though it is obviously not a whistle) which is way awesome.