I was asked about my shadow experience at every single interview I went to. I highly recommend shadowing a CRNA (instead of an MD). I was asked about specific types of cases I had seen. Thankfully one of the CRNAs I shadowed was really excited I was applying to the school he graduated from, and he offered to write me a recommendation letter on the spot. I also recommend having a recommendation letter from a CRNA.
That being said, I had a difficult time getting into the OR to shadow. I found a lot of dead end paths. I met a CRNA who said she'd let me shadow (I asked her during a bedside report in the ICU) and she never responded to my email. One of the nursing educators tried to get me in touch with someone (oddly the same woman as before) and that was a dead end. I talked with my manager who said he'd get me in contact with the OR manager, and that never happened.
So, I called up a friend who was friends with an anesthesia resident. He emailed a director for me and he actually wrote me back and invited me in. He was really really friendly and spent two days bouncing me around in several ORs so I could see a variety of methods/airways/cases. I felt I was missing a really big open heart case, so after another dead-end, I finally just asked the surgeon if I could watch a case. I showed up early in the OR that morning, and after a lot of confusion, someone finally agreed to let me in. I was with an anesthesia resident and attending, but at least was able to see a large open heart case. It was a very awesome experience and did prepare me for that question in the interview.
But, make sure you give yourself plenty of time. It took me probably 4 months to get it all done.