Color theory is kind of a broad subject... but in regards to shading, I usually follow a few simple rules. Instead of using pure black for shadows and pure white for highlights, you should use darker colors. Cool tones (such as blues and purples) are good for shadows, while warmer tones (reds yellows etc) are good for highlights. Also, using less saturated colors (meaning more subdued grayer tones) in the background and more saturated colors in the foreground can help create a good sense of depth.
If you want to do a bit of reading, wikipedia has some good points on the subject:
http://en.wikipedia.org/wiki/Color_theory 
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