HAH, I FOUND IT!!!

HAH.

Scuse me while I gloat a moment.

HAH.

And I will continue to say bad things about Microsoft, thank you very much, they're the ones making me pull my hair out over crap like this.

Anyway, OK...

I exported the "HKEY CURRENT USER" tree and the "HKEY USERS/.DEFAULT" to ASCII reg files and compared them. I went through each difference carefully (there were hundreds), and noted suspicious ones and started fiddling with them. Once I had my list of suspicious entries, it was the second hit once I started fiddling with them.

The key in question?

GOOD VERSION:
[HKEY_CURRENT_USER\Control Panel\Desktop]
"UserPreferencesMask"=hex:9e,3e,00, 80

BAD VERSION:
[HKEY_CURRENT_USER\Control Panel\Desktop]
"UserPreferencesMask"=hex:9e,3e,00,00

So there you have it. This single option bit fixed everything: Pointer shadow, Menu fade options, title bar gradient, everything.

How it got messed up in the first place, you got me...