In Twilight Princess, the Fused Shadows are three items that when combined have some serious power. Link goes to three dungeons to find them.
Once Link fills up the Vessel of Light and returns the Faron Province to light again, the Light Spirit Faron tells him that in order to save Hyrule, he must banish the King of Shadow (Zant). However, Link does not have the necessary power to defeat Zant. Faron than explains that there is a power, that was hidden by the Goddesses, and whom told only the Light Spirits their locations. According to Faron, the Fused Shadows are this power, and are the only way to defeat Zant.
The first temple visited by Link is the Forest Temple, where he finds the first piece of Fused Shadow. He than goes to the Eldin Province, where The Light Spirit Eldin tells him that the next Fused Shadows is in Death Mountain. Thus, Link goes to Death Mountain and goes into the Goron Mines to receive the second piece of Fused Shadow. Last but not least, the Light Spirit Lanayru tells Link the location of the final Fused Shadow, the Lakebed Temple. Once Link collects the final the Fused Shadow, he is assaulted by Zant who then takes the Fused Shadows.
Regaining the Fused Shadows
After Link defeats Zant, Midna regains the fused shadows and uses a fraction of their power to destroy Zant. Link and Midna then journey to Hyrule Castle, where Midna uses them again to destroy the barrier surrounding the castle. Later, after Link defeats Ganon in his beast form, Midna teleports Link and Zelda out to Hyrule Field, while she stays and attempts to destroy Ganondorf as well. She apparently fails to do so when Ganondorf appears in Hyrule Field holding the the helmet that Midna wore. It is unknown what happened to the Fused Shadows, but it is most likely that Ganondorf destroyed them.