You could probably grow Lobelia cardinalis 'Queen Victoria'
in zone 4 in the shade. It has pretty red foliage, however you probably wouldn't get many flowers.

Many of the purple and red leaf plants turn green in heavy shade. Try red leaf caladiums. There is also a new tri-color foliage astilbe out--I have seen it, but couldn't recall its name or find it on the internet for you. Keep an eye out for it in nurserys.

I have an Autumn fern I love. The new foliage is a rust/red. Here in ZN 3/4 it is questionable how long it will be around but I bet you could grow one easily.

There's a fern: Athyrium'Ursula's Red' which is winter dormant and is reddish with silver. The silvering goes green over the season but the stems stay red.

There's also Saxifrage fortunei which does come with 'mahogany' coloured leaves and seems to be semi-dormant over winter. As you can see from my own posting on this site, I'm not quite sure of ongoing maintenance. When it's new, though, the leaves are shiny and the flowers similar to a Heuchera. About the same size in height/spread, too. There's more than one sort. You may need a heavy mulch in winter to keep it in your area.

I've got a sizable shade garden facing north with similar problems.

Red shade plants are a tall order when you think about plant chemistry. Red leaved plants have less chlorophyll to make food so they have to be more efficient. Some adapt, but it's hard to be sooo efficient that they can live in shade without much green.

That said, my guess is you have more light than you think. I would give heucheras a chance. And don't give up on one type. My plain old palace purple does will on the north side of my house. I'm getting more for my shade garden (and underplanting them with creeping jenny for effect.)

I tried lobelia queen victoria. All 7 plants ended up on the ground in a leggy, sprawling mess. They needed more sun perhaps. I'm taking them out.

There are good fall red shrubs for shade but you don't have the room.

You could do this easily for $20 bucks a year by buying some coleus annuals every spring. It'll do wonders for the green garden.

On one side of our shade bed, we have a small shed with two planter boxes. I arranged silk flowers of red annual geraniums and pink astilbes. They look very real and brighten a corner of the garden all year. They aren't cheap, but should last. You can get them a high-end garden center/florists.

There's a variety of Impatiens I've grown quite fond of for use in my heavy-shade areas that has very dark leaves and vivid orange flowers that "light up" those shady spots--it's called 'Art Deco' or just 'Deco.' It can also be used in quite a bit of sun, where it flowers even more profusely.

If you don't mind using tender perennials, try Coleus and Altenanthera. Both are availavable with dark red foliage and are easy to overwinter under lights.

Thanks everyone for the suggestions!

What about Heuchera (Coral Bells). I planted my first one this year. The variety I have has green leaves, but some varieties have burgundy leaves. One variety has orange like leaves.