Complimentary colors can be pretty effective, visually. In reality, there's no law of nature or anything which makes shadow and light complimentary.
However, simplified, the sky is blue and the sun is yellow. Indoors the situation is the reverse. You often have a warm ambient light, and a cold dominant light coming from the windows. The warm sun is brighter than the cold sky, but the cold sky is brighter than a warm light bulb.
Basically you're often dealing with a weak ambient light source, and a stronger point'ish light source. Render-wise, you can first add the ambient light to everything, then you add the stronger light source on top of that (then crop to whats visible with your current exposure levels). It's a bit like pulling up the RGB sliders to add, say R+100, B+80, G+10. Of course, when mixing physical paints, you have to use some sort of color sense instead.
Then you have to balance realism in rendering against what looks good aesthetically. People who paint deserts sometimes like to crank up the purple a bit in the shadow (and perhaps saturating the shadow edges a little extra), because it looks so nice against the sand.