Most of these files are VMU saves, but any others will only work when downloaded to a PC or Mac.
Here and here are completed Shenmue I saves for importers of the PAL version of Shenmue II.
Here is a Japanese Shenmue II Bad Ending save, and here is a PAL version.
Here are Voice Guy's great Yokosuka maps.
Here's the completed VMU save for Shenmue. Note: This only works when downloaded to a VMU through a Dreamcast. If you own the Nexus 4MB Memory Card with PC Link then download this VM to DC converter
Here (VMU format) and here (Nexus/Interact format) is the bad ending to Shenmue where Ryo dies at the end. To get this yourself you've got to play through to sometime in the Summer after you start and it will happen automatically.