I actually do a lot of shadow boxing (through an exercise game on the wii though). I'm not sure about specific caloric benefits, but I know that it feels pretty awesome! This has been particularly great for me because I have anxiety disorder and am usually way too stressed out, and punching the air is kind of great for getting rid of that frustration. I also have knee problems so I can't run or do anything particularly high-impact. I combine it with some kickboxing (mostly just kicking in whatever direction I want) in order to make it a full-body workout and it's been great for my arms and lower body strength. I'm definitely sore after a good workout, so, like I said, it can't hurt!
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Shadow Boxing?
First of all, thanks for replying! I was doing it through wii fit for a while but now (unfortunately) I've gotten too heavy for the balance board. So I'm trying to get back down to 330 so I can actually make use of the game again. Until then I think I'll just keep shadow boxing and running in place/doing situps. 
