The Gangue Shade is a demon encountered in the Dead Trenches in Orzammar.
Activating the Legion of the Dead Relic, (found in the center of the room where you acquired the Helm of the Legion and Legionnaire Key from the Altar) will result in the Codex Entry: The Gangue Shade.
Equipping the full set of Legion of the Dead armor on the Warden or on one of his companions when activating the Legion of the Dead Relic will summon the Gangue Shade, which appears to be a fairly garden-variety shade with a unique name.
When defeated, it may drop no loot at all or a randomly selected leveled item (often medium armor of some type). The encounter does not trigger a quest.