Why is my Arduino Ethernet shield getting hot?
Ethernet is power hungry!  The ENC28J60, which is the chip that most of the Ethernet shields use, draws up to 250 mA at 3.3 V -- that's 825 mW.  I've used these chips before on my own boards, and have always been surprised at how much power they draw and how warm they get.  So don't worry.  If you can still hold your finger on it, that's fine.  If you're still concerned, measure the temperature of the chip.  If it is below 70°C (158°F), it's within its normal operating range.