I usually need to turn Vsync on, I run my setup through HDMI into my TV so sometimes the refresh rate gets confuzzled and I get massive screen tearing unless Vsync is on. Thankfully triple buffering does help a bit with the speed though.
Shadows I notice, I used to have shadows off back in the day and everything ended up having a bright washed out look, kinda unnatural. I don't often notice the difference between like....super shadows and regular shadows though. I don't usually notice AA or AF though, it's very subtle to me but people say they look good and I like believing I'm getting the best possible graphics/performance ratio for my setup so I usually set them as far as I can go. I'm a bit of a tweaker though, I notice when even little things go wrong and it bugs me if I can't get them to look or feel right =P