Deeper Shadows.
 

Im a cinematographer shooting a short in which shadows are very important. How to I achieve a deeper shadow without it getting milky or grainy.

Using an XL1 or XL1s shoot with your gain turned down to -3dB.

I agree with Ken, and also if you have control of the lighting try over-lighting the "light areas" then compensate with with your iris.

If using the 1S, the setup level is what's needed. But...

The Canon already shoots a deeper black than NTSC likes to broadcast. I believe the IRE is about 5 and the NTSC level is 7.5. So I don't think you even need to make the adjustment. While 5 isn't 100 black, for most purposes - it is.

More likely solution is making sure that the gain is on manual and set as low as possible. That should keep the blacks, black. Next is to light and expose to get the normally lit area lit well enough to keep it contrasty.

BTW, I shoot a little on cable access and am going to try bumping my setup level up one notch to see if it brings that black level up a little (and will also decrease contrast a bit) more toward 7.5.

On tests with my own XL1s, the factory "nominal" setting proved to be 7.5 IRE. Obviously, settings below that will dip into no man's land. As you noted, the NTSC broadcast standard is no lower than 7.5 IRE. I liked your suggestion of overfilling the light areas to underexpose the blacks. Did I understand you correctly?