Shade's conflict with the American Scream and Wisor of Meta comes to a brutal conclusion. Also, Shade saves Christmas.
In the third volume of Shade the Changing Man, the American Scream's origin is revealed, Kathy deals with some things, and Shade brings the first arc of his series to a close. This volume was the best of the three so far. Chris Bachalo's art has improved in leaps and bounds since the first issue and all the seeds Peter Milligan planted in the first 18 or so issues bore fruit.
Shade was always overshadowed by other books like The Sandman and The Doom Patrol when it was being published but I'd say it's more original than either series. Milligan's weirdness is more purposeful than that of the Doom Patrol and I think his writing is on par with Gaiman's.
I love that this volume has a Western theme, part of it taking place in a bizarre version of the old west. Another thing that I thought was really cool was that this volume felt more connected to the Steve Ditko Shade the Changing Man series of the 1970's, with mentions of Meta, Shade's fiancee Mellu, and Shade's body floating in the Madness Zone, still wearing the M-Vest. Heck, Milligan even reveals the origin of the M-Vest.
That's about all I have to say. I'm hoping DC reprints the rest of Shade so that I may read it.