Hillshades are made by processing georeferenced digital elevation models. The process places a virtual light source above an elevation model and calculates which areas are lightened up and which fall in the shadow. Light characteristics, vertical/geographical source will be determinant for the hillshade.
Some years ago I prepared a hillshade model for Tanzania. It was fun and before I knew it I had prepared elevation models for seven more countries.
This article points to a file gallery where the files are available for download.