Most vegetables grow best in a sunny position. If you have a shady spot then you can still grow crops like endive, lettuce, radicchio, peas and spinach. Others will grow, but probably not to their full potential - especially fruiting crops.
Shelter from cold and strong winds is beneficial - essential for crops like aubergines and peppers - and will also ensure better crops of vegetables like peas and beans.
Try and choose a position away from large trees and hedges, as these will compete with your veg for water and nutrients, as well as casting shade.