I never saw Shearer as a Saints player unfortunately. Out of Bale, Walcott, Lallana, Chamberlain, Shaw and Chambers (those debuts I have seen), I would probably go with Shaw. I remember thinking how comfortable he looked with already the right build to play in the prem.
On a side note, anyone else feel Walcott and Chamberlain haven't (and likely will never now) reached even close to their potential? Frustrates me seeing talent like that going to waste.