Not sure there's a taste difference - that's going to be covered up with processing/varietal/roasting and all of that.
The main benefit to shade grown coffee is sustainable farming practices. Control of the amount of sun the plants get allows the farmer to better manage the amount of fertilization, how he prunes, the amount of water that gets to the trees and so on. Plants grown out in the open have very few options for managing the environment other than what the weather is like.