Shake is awesome, and although I have not set it up for quite some time (Shake version 3.5 was the last time) it works very well on Linux
What version of Shake are you using ? I must admit... you had a me worried for a second as I thought it this was going to be another... "which Linux is the best version for newbie's" thread. We have seen so many of these threads and it escapes me that no one bothers to do a search first, because there are a multitude of similar threads. This, however, is a different and legitimate question
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The most important thing you need to worry about before getting Shake installed is that you have an opengl driver installed on your system, I would highly suggest that you install the Nvidia driver direct from their web site.
I think that because your primary focus is Shake and not Linux, (Sorry Darkstar) you should install Ubuntu because it has the most support if you need help.