I wanted to confirm this I've heard tell they are but there seems to be much debate. Can you use intimidate to demoralize undead? This seems like the sort of thing that they would have made clear in the rules but it doesn't seem to be.
Undead Traits mentions immunity to mind-affecting effects in general, one could argue shaken is mind-affecting but it is never specified. It does say it is a state of "fear" but fear also does not specify that it is mind-affecting.
Based on this I might rule undead can be demoralized.
But, after some further thought...
Shake could be considered either a "morale effect" or "mind-affecting" but it doesn't specify and usually where something is a "morale" bonus or penalty specify the type. The best support for the concept that it is though would be the Psionics spell Demorailze which does specify "mind-affecting".
So the only argument might be that this was only meant to apply to magic effects not non-magic ones. Which seems to perhaps be a bit weak.