Shadowmarks are the secret communication method of the Thieves' Guild of Skyrim. While they are all over the place, they are only explained through the book 'Shadowmarks,' so it's quite possible to go many hours and even become the Guildmaster of all of Skyrim's rogues without ever learning what those funny squares outside doors mean.
Despite this, it's well worth getting a rough idea of what each of the symbols means. They can help you case houses, get out of jail, find Guild assistance, and even lead you to free stuff. All you need to know is what you're looking for.
9 The Guild
This mark indicates a safe house, entrance, or contact with the Thieves' Guild and indicates that the area is friendly to or serves as property for the Guild. One of the most notable examples is the sarcophagus sign that acts as the secret back entrance to the Ragged Flagon's Cistern.
It can also be seen on the doorway to Riftweald Manor, which is owned by the sometime Guildmaster, Mercer Frey. If you're looking to sign up with them, this sign is a good indication you're on the right track.
8 Safe
The Safe symbol indicates routes that are safe to use. They can either indicate good areas to stay unseen or point toward safehouses associated with some members of the Guild. They're one of the less-commonly seen marks, though notably, one instance does foreshadow an important aspect of the Thieves Guild plot.
You can find one to the south of Riften, which points to the entrance of Nightingale Hall, though oddly, you won't be able to reach it until accessing the corresponding quest in the Thieves Guild plotline. At least it'll make it easier to find when the time comes.
7 Danger
The 'danger' mark indicates theft locations that the Guild really doesn't consider worth the risk, and it often denotes very strong fighters in residence. This is the reason that you can find one by the Jorrvaskr entrance or Aerin's house in Riften, where Mjoll the Lioness resides.
The mark can also relate to different kinds of threats. There is one on the Arentino residence in Windhelm, presumably as Aventus is trying to perform the Black Sacrament inside. Even members of the Guild don't really want the Dark Brotherhood on their tail.
6 Protected
This mark indicates anyone in an arrangement with the Guild. Individuals, businesses, or families whose properties have these marks outside should not be robbed or harmed. They can be seen, unsurprisingly, on Black-Briar Manor, though also interestingly on Erikur's house in Solitude and the house of Clan Battle-born in Whiterun.
Despite the threat attached to this mark, there don't seem to be in-game consequences for violating the terms of the mark. There's only the ever-present threat of getting attacked by hired thugs sent by the former owner of the items. Maybe the other members are spitting into your beer in the Ragged Flagon.
5 Escape Route
One of the most useful Shadowmarks if you're the kind of player who gets into trouble frequently or can't resist launching Nazeem right over Dragonreach with a strike from Volendrung. You will often find these inside jail cells, and they are indicators of a way to make your grand escape from confinement.
Escape route marks will also show up in a few other places. You can use one to make a swift exit from the back of Riftweald Manor into the Ratway, presumably added by Mercer as a way to get to the office in a hurry.
4 Loot
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One of the more common Shadowmarks you're likely to find, these will be left by any property that the Thieves Guild considers to be worth stealing from. This means there are sufficient valuables to make it worth it, and it's not hazardous enough to warrant a 'danger' mark.
Places with the 'loot' mark include many of the shops in Skyrim, as well as houses of wealthy individuals who clearly haven't managed to pay the Guild off in the manner of the Black-Briars. Seeing this is a good sign that you should go in and take a look at what's on offer.
3 Empty
'Empty' is a fairly self-explanatory mark, and it denotes an area or property that doesn't have anything worth taking. This is usually found outside the properties of people who are down on their luck. Places like Beggar's Row in Riften and The Warrens in Markarth have these marks.
While they're generally a reliable indicator that you won't find anything expensive inside, occasionally, this mark can be misleading. The 'empty' sign on the abandoned house off of Markarth's square is far from accurate, though maybe it was warning off people from something rather nasty inside.
2 Fence
A useful sign to remember if you make a habit of taking what isn't yours, a fence sign, unsurprisingly, denotes the presence of a guild fence in the area. These are fine individuals who will purchase stolen goods from you, whereas other shopkeepers won't touch such a thing (without a particular perk in effect).
Fences are only available through the Guild, and initially, the only fence will be Tonilia in the Ragged Flagon. Completing quests will broaden the number available to you, and eventually, there will be convenient locations in various cities to offload ill-gotten gains.
1 Thieves' Cache
You never get something for nothing, right? Wrong. All you need to do is keep an eye out for this symbol. It will often appear on containers in cities that the Thieves' Guild has been actively working on.
Opening caches up will reveal some surprisingly valuable leveled loot, including enchanted weapons, gold, lockpicks, and jewels. Even better, it's all free to take, and no one will try and stop you, and it's not considered stolen goods. Just a little present from your fellow rogues. Who said there's no honor among thieves?