Ultra shadows are messed up. Either use High and leave it alone, or tweak them in the INI.
If you want to tweak them, then see this link
http://www.overclock.net/t/1171258/skyrim-ini-tweak-for-amazing-looking-shadows
Note, your CPU better be up the task. Shadows are rendered in the CPU in this game and the more you ask of the shadows, the more performance you svck from the game. There are some shadow mods at the Nexus for lower end machines that look better if the above tweaks bring you to a crawl.