Depends a lot.
Curse of Shadow gives you 10% extra damage to all your shadow spells. Curse of Agony gives you flat out more damage over 24 seconds.
If your target lasts for 24 seconds or more, you would have to deal 10x Curse of Agony in shadow damage for Curse of Shadow to outweigh Curse of Agony.
Example:
My Corruption (not improved) with Curse of Shadow does 1320 damage.
My Curse of Agony (not improved) does 1570 damage.
If my target lasts for 24 seconds, Curse of Agony will deal a full 1570 damage. To match this damage in Curse of Shadow bonus, I would have to do 15700 shadow damage (because 10% of 15700 damage is 1570 damage - equal to Curse of Agony).
So unless you are able to apply more than 15700 shadow/arcane damage to the target within 24 seconds, Curse of Agony would be better. Thus we can conclude that Curse of Shadow would be great in a raid group where lots of people are firing shadow spells at the target and could easily deal 15700 shadow/arcane damage within 24 seconds. Now, when there are multiple Warlocks the benefit of Curse of Shadow goes up. Only one Warlock needs to cast Curse of Shadow meaning the rest can use Curse of Agony AND get the buff as well. Not to mention Balance Druids and Shadow Priests (and Arcane Mages?) benefit from the curse as well.
In short: Curse of Shadow is a major buff in raids where everyone who casts arcane/shadow spells will benefit from it. To be useful when soloing you would have to deal ten times your Curse of Agony damage to outweigh it.
That being said, Curse of Shadow also gives a bonus to Drain Life, meaning you can drain more health with less mana spent. This is good for catching up some lost health without draining your mana pool on it (you will gain more health than you will lose mana).
Hopefully this all made sense to you.
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