Shadows form when something comes into the path of light through which light rays couldn't pass as light travels in straight line. And then it forms the shadow. Shadow is that part of object which does not allow light to pass through it that is why it seems dark but the light from the edges of object pass. And this is the reason it forms on the opposite side of the light source.
Sun is very bright and if we focus it on our retina that means we our putting alot of energy onto a tiny area which can damage our retina.