I first encountered Shestov myself, not in the context of Existentialist thought as such, but in the research that culminated in my book on the 1930s Christian Philosophy Debates, Reason Fulfilled by Revelation
It became readily apparent early on just how significant a figure Shestov was for the development of Existentialism as any sort of coherent movement of thought, literature, lifestyle, and culture. He is one of the main early thinkers who sees thematic connections between authors who will later be recognized as central to Existentialism as a distinct approach and later tradition within Philosophy, publishing his Dostoevsky and Nietzsche just after the turn of the century, followed by All Things Are Possible in 1905. After going through the Russian Revolution, publishing a number of other works, and emigrating eventually to France. He ends up writing upon, then meeting Husserl, who catalyses an interest in Kierkegaard.
Shestov ends up meeting and interacting with quite a few other thinkers who will be placed under Existentialism's broad umbrella, including Berdaiev and Martin Heidegger. In his later works, while recognizing the affinities between his own thought and that of Kierkegaard, he criticizes him for not having gone as far as he ought to have in some respects. Another measure of his influence is that he gets targeted as a prime representative of religious Existentialism by Camus, in the Myth of Sisyphus.
While there is a Lev Shestov Studies Society, established almost twenty years ago, he still remains a little-known figure, which is a shame -- he's quite brilliant and well worth the read. One may disagree with him, when you read his works, but one has to respect both his easy erudition and the daring wit with which he dissects, connects, critiques, and then offhandedly quips.
I've got a whole series of videos planned on Shestov for this course, starting with All Things Are Possible. I'll definitely be doing some of the essays from the work paired with it in the volume, Penultimate Words, and later on, Dostoevsky and Nietzsche and Kierkegaard and the Existential Philosophy. I might attempt Athens and Jerusalem. .. might, because I'm not sure just how long I intend this sequence of video lectures to get.