This is great to use when that mage used Living Bomb on you, so keep it handy.
Tips and tactics
Now that Shadowstep can be used during a fight, it can also effectively counter casters. If you see a caster's hands go all glowy and their cast bar appears, wait until the spell is nearly complete and then Shadowstep behind them, they will instantly lose sight of you and you have the upper hand again. This may save your Cloak for when you really need it against another cast or the Rogue's best friends, Warlocks.
This is a rogue's trump card against casters. Learn when to use it for maximum effect. For instance, if a mage uses Frost Nova and starts casting a long spell, let him get near the end so that he wastes his time. Let warlocks use their Death Coil and DoT you up, then clear all their DoTs when the fear wears off. They may forget to apply them again, or may not have time. You can also Trinket the fear, Cloak, Vanish and then Shadowstep behind him, and open, or do whatever you want.
When you see a hunter lay down a Freeze Trap, Cloak is the thing to use.
Doesn't break Stealth when used. To escape a hunter or warlock that you don't wish to fight, vanish in between DoT ticks and quickly apply Cloak of Shadows.
Some mobs that use Mind Control will foolishly use your Cloak of Shadows, and you are freed from their control. You may want to try not to use it in those fights, to keep it off of cooldown.
Cloak of Shadows can be useful in PvE encounters as well. If you are short on crowd control, offer to off-tank a casting mob. Between Kick, Gouge, Kidney Shot, and your Cloak, you can neutralize a caster's damage against you for quite a while. This is not recommended in Heroics.
Many bosses apply painful debuffs (The Stalker in the Underbog has an 8 tick debuff that does 750 / tick). You are probably already last in the decursing pecking order, so be sure to use your Cloak when you can (and quickly, before someone tries to cleanse you).
Certain PvE debuffs like the Impending Doom DoT applied by Epoch Hunter in Caverns of Time: The Escape from Durnholde which are known to be indispellable are in fact removed by Cloak of Shadows.
There are also certain PvE debuffs that Cloak of Shadows does not remove, for example the Curse of Vulnerability that Rift Keepers, in Caverns of Time: The Dark Portal, cast. This has been reported, has been called a bug by GMs, and is currently being "worked on".