United made Brass two truck shays in the 1960's. They can easily be updated with a newer motor. As previously stated Bachmann Spectrum makes a Shay in HO scale.
The bachmann one is pretty nice. MDC also did a kit, lots of work but i've seen some nice ones done with it.
The Bachmann shay is pretty nice, both in looks and in operation. It has directional lighting and even a glow from the firebox. Very easy conversion to DCC, has an eight pin socket in the third truck tender that takes about ten minutes to install.
Here are some photo's of the United Two Truck Shay in Brass; circa 1962: The motor can be updated for DCC.
MDC also made RTR versions of their 2 truck and 3 truck shays. I hear they run well except they are a bit on the noisy side. You can probably find one for under $100 on ebay.
The Bachmann had an excellent review in MR, March 01 and I think it won one of those MR product of the year awards, (MR August 01) I don't recall ever seeing a negitive comment of this Shay. I believe this Spectrum series carries a full one year warranty, and limited thereafter for life. [ 05. August 2004, 11:21: Message edited by: locomotive2 ]