Depends on a lot of things. I often use a dark brown or a dark grey for shading as I usually aim for a muted, natural looking result. I only use black for colours that are allready dark in themselves.
Quite often I mix a bit of the complementary colour to the base coat into my shading mix so that the shadows will become less vivid than the base colour. It looks wrong to me if the shaded areas look equally saturated as the non-shaded ares, or worse, even more saturated.