These pictures, which were all taken with the ship stationary, don't really do it justice. It's a very well-defined shadow, and you can see how it moves as the camera angle changes. For a minute, I thought it might be the rim of Spacedock casting a shadow on the planet, but the shadow sort of moves with you as you move around the planet, too.
/video card is a Radeon HD 5850
//I never noticed this before it was pointed out