I parked him at the entrance of a dungeon, but when I cleared it and fast traveled around, he didn't respawn near me. I looked at the dungeon entrance where I left him, as well as near a lodge where I acquired him. And yes, I persuaded the guy to give me a horse, so he's mine. Any idea where he might be?

bump

Hehe, parked.

Fast travel, and see if he turns up where you land? I can't shake Shadowmere for the life of me.

Check the stables of the first place you fast travelled to after exiting the dungeon (if they had stables). Otherwise I'm not sure.