Anybody else having this problem?
ex_prim_shader.c
ex_shader.cpp
ex_shader_multitex.c
ex_shader_target.c
ex_shader.cpp has a command line flag --opengl to run in opengl mode, but the others do not. I compiled the other programs to create displays with ALLEGRO_OPENGL and they worked fine. For some reason the example programs do not output an allegro.log 
I'm not sure why.
I'm using Allegro 5.1.11, same from Speedhack.
I built the examples as static release mode binaries, so no debugging symbols and no log. :/ I think there might be a way to enable the log through the cfg file though.
EDIT
I tested the examples you pointed out, and I get ;
1. ex_prim_shader.exe gives me a blank white screen and does nothing
2. ex_shader.exe crashes
3. ex_shader_multitex.exe crashes too
4. ex_shader_target.exe crashes too
ex_shader crashes here :
Program received signal SIGSEGV, Segmentation fault. 0x695dbca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll (gdb) bt #0 0x695dbca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll #1 0x0045bb49 in d3d_flush_vertex_cache(ALLEGRO_DISPLAY*) () #2 0x004b2cf5 in d3d_draw_bitmap_region(ALLEGRO_BITMAP*, ALLEGRO_COLOR, float, float, float, float, int) () #3 0x0040aa4c in al_draw_bitmap () #4 0x004bc9ba in main () (gdb)
ex_shader_multitex crashes similarly :
Program received signal SIGSEGV, Segmentation fault. 0x69c2bca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll (gdb) bt #0 0x69c2bca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll #1 0x00475089 in d3d_flush_vertex_cache(ALLEGRO_DISPLAY*) () #2 0x004b2cf5 in d3d_draw_bitmap_region(ALLEGRO_BITMAP*, ALLEGRO_COLOR, float, float, float, float, int) () #3 0x0041059c in al_draw_scaled_rotated_bitmap () #4 0x004bcaec in main () (gdb)
And ex_shader_target crashes here (in the same place) :
Program received signal SIGSEGV, Segmentation fault. 0x69c2bca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll (gdb) bt #0 0x69c2bca4 in d3dx9_43!D3DXCreateEffect () from C:\Windows\system32\D3DX9_43.dll #1 0x00446539 in d3d_flush_vertex_cache(ALLEGRO_DISPLAY*) () #2 0x004ae945 in d3d_draw_bitmap_region(ALLEGRO_BITMAP*, ALLEGRO_COLOR, float, float, float, float, int) () #3 0x0040ceec in al_draw_bitmap () #4 0x004bca01 in main () (gdb)
To enable logging, you need to set the trace level in the system configuration to something non-empty. E.g. you can put this in an allegro5.log:
[trace] level = debug