The shadow of Nibbler is a recurring theme on Futurama as well as an important story arc. Originally it appeared in "Space Pilot 3000", but it was not fully explained until "The Why of Fry".
For the production of "Space Pilot 3000", the writers made a point of adding secrets they would discuss later on, the most important - if not the only one - was the shadow of Nibbler. Nibbler was not introduced until "Love's Labours Lost in Space", and the shadow did not make a "reappearance" until "Anthology of Interest I", though technically, in the what-if scenario, it wasn't actually there, explaining why Philip J. Fry didn't fall into the tube.
Nibbler's truth was first revealed in "The Day the Earth Stood Stupid", but Fry first finds out the truth in "The Why of Fry". By utilizing the Infosphere, Fry sees that Nibbler was present in the cryogenics lab on 31 December, 1999 and was directly responsible for Fry falling into the cryogenic chamber. Fry travels back in time to intercept Nibbler, but ultimately chooses not to alter time. Fry's presence results in an additional shadow, which first appeared in a flashback in "Jurassic Bark". Because this episode aired prior to "The Why of Fry", viewers may have been originally confused about the new shadow.
After the end of the original run, not much speculation on the shadow was left. When the show came back as films, the shadow made a return by the very end of Into the Wild Green Yonder on the ship, before the characters fly into the wormhole. It appeared again in "Game of Tones".