Since the release of the first game there have been several fan made projects, here is some information on them...
Shenmue RPG
Release Data:
Unfortunatly I dont have any information who this was being developed by but it looks like it was going to be very similar to an old style 16-bit rpg but with the Shenmue storyline and enviroments (done in 2D graphics). below are a couple of screens.
Unreleased. Intended release date was to be 2004
Shenmue Zero
Release Data:
May 2003
Shenmue Zero is a prequal to Shenmue developed and released by Tenshin Soft. It flooded the Shenmue Dojo forums with discussion & excitment when first announced but when a version was finally released many people were disapointed because of bugs and errors within the game, luckily a patch was released which fixed these. You can download the game here.
Shenmue: The Lost Chapter
Release Data:
Shenmue: The lost chapter is a new fan game which was just announced in a topic on the Shenmue Dojo forums. You can see that topic here. It looks very promising so far with high res graphics and textures closer to the original game than ever before in a fan game. A video of the game can be viewed here. Whether a finished product will ever see the light of day is another question!
To be determined, 2010
(Release date not met)

Current status unknown
Shenmue: Chapter 2
Release Data:
To be determined, 2009
(Release date not met)

Current status unknown
Shenmue: Chapter 2 is a new Shenmue fan game being developed by Tenshin Soft (previously responsible for Shenmue Zero). It will be about the scrapped second chapter of the Shenmue story which was originally planned to be at the beginning of Shenmue II but was removed from the finished game. Check out the website here for updates on this project. It is coming along nicely so far.
ShenSonic
Release Data:
Shenmue fan game Shensonic is a fantastic Shenmue fan game which was developed and released by a shenmue fan going by the alias of "SimSonic". The game is a very good and well made fan game and you can tell lots of effort went into the making of the game. You can download the game from the creators website which is still active (just!) find it here.
The Latest version was released in 2004.