In Baldur's Gate, it's sold at the Thunderhammer Smithy for a hefty sum of gold, but it's the best armor for thieves available.
In Baldur's Gate II, it can be gained when the party kills Mae'Var. It can be compared to The Night's Gift, which leather armor having the same armor class, 20% Hide-in-shadow bonus and is not limited to thieves, but it has negative armor modifiers.
Shadow armor is studded leather armor created for use by the Shadowmasters of Amn. The Shadowmasters are of the highest order within the Shadow Thief hiearchy. It is +3 studded leather armor that melds into shadows.