Mapping Center Answer:

You can create a hillshade dataset from your contour lines pretty easily.

The first step is to create a DEM from your contour lines using the Topo to Raster tool (Spatial Analyst Tools > Interpolation > Topo to Raster).  This tool will give you an output that you can use to create your hillshade from.

Once you have created a DEM from your contour lines, the next step is to use the Hillshade tool (Spatial Analyst Tools > Surface > Hillshade).  Use your newly created DEM as the input for this tool.

The Mapping Center Team has covered many tips and tricks for hillshade effects and management.  I did a quick search on the Mapping Center Blog and came up with the following results that you may find useful:

http://blogs.esri.com/Support/blogs/mappingcenter/search.aspx?q=hillshade&p=1