The long and winding road...
Dear ??? (ShayMan),
Having been there, I can confirm there is no "key to Narnia",
only a long, narrow, and winding road to the loco shed,
for those who genuinely "want it badly enough",
and are willing to put in the Time and Patience to make it happen...
To explain:
- No matter which of the options listed below matches your particular cup-of-boiler-treatment, understand from the outset that Geared Locos are by-definition far more complex than an equivalent Diesel, or even rod-loco mech. Ergo, if you are not "comfy with tweaking/tuning mechanisms" and treating them with respect, then Shays are not the Model-Loco for you...
- Keystone whitemetal kits fo 18-20t HO Class As are still occasionally available on eBay. The power-up kits from NWSL are rare, but can still occasionally be found. Shopping direct on the NWSL site can provide many of the required parts (motors, shafts, uni-joints, tower gearbox), but the truck sections are AFAIK no-longer-available. Replacing with components from Hollywood Foundry may be possible.
Expect to pay between US$$ and US$$$
(depending on whether the seller bundles a NWSL power-up kit or not,
if YES, make sure it's the Appropriate Gauge for your desired mission!)
- Stepping up, we have the 40 - 70t MDC/Roundhouse Shay.
Available in a number of different variants
(HOn3 Class B, HO Class B, HO Class C)
and formats
(Kit with open-frame motor, Kit with Sagami can, RTR HO Class B with Sagami can)
the MDC shay has been the "Rite of Passage" model for many Shay and logging fans.
Unfortunately the vast majority of modellers see "MDC/Roundhouse" on the box,
think "oh, a shake-the-box kit",
treat the mech with the same disrespect usually reserved for 30-sec MDC/Athearn Boxcar kits,
reap their own reward (runs horribly and noisy, if at all),
get disillusioned and walk away from the hobby...
Thankfully, for those who "really want it" and have the time/patience/respect to build it properly,
(see initial comments above),
the kits _can_ be built up into smooth-running cheap geared-locos, using only the original parts,
(although not always assembled exactly per the instructions,
the instructions should absolutely be heeded, esp the "Note!" callout details,
but the modeller should equally apply a fully-functional set of "how do the mechanics of this work?" common-sense and clean/file/check-for-fit/eliminate-binds/don't-force-parts/etc as required... 
),
and can result in smooth slow-running, reliable and satisfying locos.
(I have operated on a number of exhibition layouts with MDC Shays as their main motive power and star performers. Patience and attention-to-detail in assembly was and is key).
For those who want "upgrade parts" (whether they are actually needed or not),
NWSL offer a number of upgrade kits for the tower gearbox,
the centreline driveshafts and uni-joints, and motor options.
Strongly reccomend picking up a copy of Jeff Johnston's "MDC Shay Handbook", it's a step-by-step guide to getting your MDC shay running like a swiss watch.
The good news is that due to the "bad reputation" of these kits,
they can frequently be had for low US$$. "New in Box" units occasionally attract "silly prices",
but the almost-agricultural engineering of these kits mean that even "basketcase, parts only" locos can very-likely be rebuilt "caterpillar --> butterfly" style with suitable levels of patience
(the same patience which was NOT applied by the original owner, thus leading to "basketcase" status!!!),
and understanding of what and how the mech design is actually intended to work.
- If we step up again to the larger Class C 80ton Shays, the Bachmann RTR offerings enter the picture. The initial release batch was a smooth runner and quite reliable. Unfortunately some time after the first batch/initial-release, something went horribly wrong, and reports of split sideshaft-bevel-gears spread like a rash. (Unlike the MDC shays, the B'mann units actually use the sideshaft as the primary mech drive transfer. failure at any point along the sideshaft brings a B'mann shay to it's knees).
Any time B'mann offer spare Shay trucks on their website, they are some of the fastest items to sell-out,
(along with their opposite number item on the On30 Shay, the Gas-Mech axle gears, and the HO Climax gears).
and while NWSL did offer replacement metal bevel gears for some time, most-recent reports suggest that they are no-longer available...
Depending on "how split" the bevel gears are, the die-hard Shay fans have found various ways to repair and reinforce them. Again, it's all about "how much you want it"...
Due to this hit-n-miss state of the gears, B'mann Shays can be found on eBay for a wide variety of price-points, from the "I don't know what I've got, but I think it's broken" US$$
thru the realistic "Caveat Emptor, but it worked when I test ran it" US$$$
to the ridiculous "I guarantee this one's gears are OK (at least they were when I packed and sent it)" US$$$$
- Of course, there is always the brass offerings. Shays have been offered from tiny Class As up to the monster Western Maryland Class D 4-truckers in brass for decades, and vary wildly in pricing and reliability.
For Class Bs and Cs, I would reccomend a United Shay. United got their motors and geartrain sorted in the 80s, and a newer example with NS wheels can be a nice reliable runner, IF you keep the lubrication up to the critical components. It's a game of balance however, as too-much lube (or the wrong type for the part-of-the-mech in question) is almost as bad as not-enough.
United Shays also benefiit (as do Any and All multi-axle locos!) from added pickups on ALL wheels. Most brass geared locos only pickup from "one side per truck", or only 2-wheels-per-truck. Adding pickups so a Class B becomes a "4-wheel-per-side" or "all-wheel pickup" is the singularly most-effective improvement a modeller can make.
Again, these can come up as "I don't know what I've got" Estate Sale items,
thru to "It's worth millions and that's what I want for it",
and everything in between. Be at the right place at the right time, and you may snag a nice clean smooth-running example with no damage for low US$$$.
There are a few reputable Brass dealers and Auction houses who have a sane-gauge on what such locos are actually worth, and quite a number of not-soo-much dealers who do not. Again, Caveat Emptor.
I know it's probably not what you wanted to hear,
but hopefully the above will help guide you in finding "the Shay of your Dreams"...
Happy Modelling,
Aim to Improve,
Prof Klyzlr
"...curving uphill on 6% grade towards the Canungra tunnel,
with SN697 on point,
and a string of Climax Type 1 cars hauling hoop pine on behind,
somewhere deep in the Aussie Bush..."
