Brandon Sanderson's Cosmere is an ever-expanding universe of interconnected fantasy stories, and for fans who love their lore to be so vast that you need an encyclopedia to parse it all, few series do it better. Most all of Sanderson's adult fantasy stories, like Mistborn, Elantris, and The Stormlight Archive, are set in the Cosmere. Despite taking place on different worlds, with different magic systems and different characters, the throughline that unites them all is the grand plan of the Cosmere.
Sanderson's most recent book is Wind and Truth, the fifth volume in The Stormlight Archive. More than any other book Sanderson has written, Wind and Truth connected dots and gave insights into the broader story of the Cosmere. That includes revealing the identity of several Shards which had never previously been named.
What are the Shards in the Cosmere? The short answer is that they are fragments of this universe's original God, Adonalsium, each of which represents a specific characteristic or ideal of the human experience. The Shards are contained in a Vessel — a person or being who takes its power into themselves to become a deity. Once they have become a Vessel, they will be forever drawn to the specific ideals of their given Shard, acting in a way that embodies its spirit.
Brandon Sanderson has yet to reveal every detail regarding the Shattering of Adonalsium, when that original God was broken into the Shards subsequently taken up by a group of 16 individual Vessels who spread throughout the Cosmere. Whenever Sanderson writes the backstory for his worldhopping character Hoid, we'll find out where it all began. But until then, we get piecemeal details about this significant event throughout Sanderson's many Cosmere books.
The Shards are all connected to specific planets in the Cosmere, though as we found out in Wind and Truth, they can travel between them under very specific circumstances. Now that all the Shards have been named, let's list them all out along with their specific planet or book series. Due to spoilers, we will not be naming any of the spoilery Vessels for these Shards. You can read the Cosmere for that! So proceed without fear, no matter where in the Cosmere reading order you may be.

1. Devotion
Devotion is one of the Shards residing on Sel, the world where Elantris and The Emperor's Soul are set. Devotion's original Vessel, Aona, was killed sometime in Sel's ancient days; as of this writing, we have never actually seen Devotion or Aona on the page.
Devotion is deeply tied to Sel's other Shard, Dominion.
2. Dominion
Like Devotion, Dominion came to Sel after the Shattering of Adonalsium, when the planet was still developing. The two resided in harmony with each other...until the untimely demise of their Vessels. The details of that story are finally revealed in Wind and Truth. The original vessel of Dominion was named Skai.
One interesting aspect of Dominion and Devotion is that they do still exist after a fashion — their power is simply trapped in the Cognitive Realm, where it cannot be claimed by another Vessel. This has resulted in the creation of a storm of pure Investiture (magic, in the parlance of the Cosmere). Because of this, the magic on Sel is more unstable and varied than it is on other worlds. Each region of the planet has a different magic system, and traveling there is extremely dangerous for worldhoppers like Hoid.

3. Preservation
Preservation is one of the two Shards that resides on Scadrial, the world where the Mistborn series is set. The original Vessel for Preservation is named Leras. The fate of Leras is explored in the original Mistborn trilogy, and as such we won't be discussing it here.
4. Ruin
The other Shard on Scadrial is Ruin, which resides in a Vessel named Ati. Like Preservation, Ruin and its machinations are deeply tied to the story of the original Mistborn trilogy.
Unlike the Shards which once resided on Sel, the Shards of Scadrial are polar opposites which must by nature conflict with one another. Because of this, the planet has often struggled, as one Shard was driven to extinguish life and civiizatoin while another was driven to preserve it. This has made for a number of interesting and dynamic stories set on Scadrial, and with two more eras of Mistborn in the works, there's more to come.

5. Honor
Next we hop over to Roshar, the planet of The Stormlight Archive! There are three Shards which reside on Roshar, and they all have an interesting effect on the planet and its history. The first is Honor, whose Vessel is known as Tanavast. This Shard features heavily throughout the series, starting with The Way of Kings where Dalinar Kholin receives visions from "God." That God, as it turns out, is Honor.
Honor is deeply tied to the Knights Radiant and the spren, who are bound by oaths of common purpose. Oaths in general are a huge part of The Stormlight Archive, and that's because of Honor's effect on Roshar. As with the Mistborn Shards, we won't be discussing plot details about the ones on Roshar — read and find out!
6. Cultivation
Cultivation is the other benevolent Shard on Roshar, whose Vessel is a dragon called Koravellium Avast. Cultivation is tied to the growth of the land, which manifests in beautiful ways on Roshar due to the planets extreme ecosystem and relationship with highstorms. Cultivation plays a very large role in The Stormlight Archive.
Cultivation and Honor often worked in tandem for the good of Roshar. If only the planet's third Shard wasn't always so intent on foiling their noble goals...
7. Odium
Odium is the third Shard of Roshar, and its Vessel is named Rayse. As with Cultivation and Honor, Odium is a major player in The Stormlight Archive. Suffice it to say that this Shard is in many ways the main antagonist of the series. It represents hatred, which can also manifest as extreme passion to see the Cosmere bent to its will.
Odium is a particularly important Shard in the overall mythos of the Cosmere who has had an effect on events far beyond just Roshar. Wind and Truth packed in some major revelations about Odium and its past.

8. Endowment
Endowment is the Shard located on the planet Nalthis, which is the setting for the book Warbreaker. Its Vessel is named Edgli. Unlike many of the other Shards we've discussed so far who are involved in all sorts of drama related to their specific books, Endowment doesn't play too big a role in Warbreaker. As such, I'd expect to see more of it as the Cosmere continues.
The most notable thing tied to Endowment and the planet Nalthis is its magic system, often short-handed as Breaths. This is a color-based magic system where people can store up magic and then use it later to animate objects, connect to the cultures of distant lands, and more. It's also tied to the Returned — demigod figures who live on Nalthis and play a vital part in Warbreaker.

9. Autonomy
Autonomy is the Shard which resides on the planet Taldain, which is the main setting for White Sand. The name of its Vessel is Bavadin.
White Sand is one of Brandon Sanderson's early novels which wasn't published, but it will undoubtedly factor into the ongoing story of the Cosmere. It was published as a graphic novel series from 2016 - 2019, so the story is out there and still considered canon. More, Sanderson is currently working on a new novelization of it, so we'll likely have a prose version available soon.
Autonomy is important not only for the story of White Sand, but because it's one of the few Shards exerting influence over other planets. It plays a role in Mistborn Era Two, as well as the novella Sixth of the Dusk. It encourages individuality...and the lack thereof. Autonomy is a Shard of contradictions, and it's one that I'm very curious about as the Cosmere moves forward.
10. Ambition
The main thing we know about Ambition is that its Vessel, Uli Da, is dead. That explains the terrible state of the planet Threnody, which is ruled by dark wraiths which force the people to eke out a living with extreme caution. Threnody is the planet featured in Shadows for Silence in the Forests of Hell. We learn about some of the circumstances around the death of Ambition's Vessel in Wind and Truth.

11. Virtuosity
Like Ambition, the main thing we know about Virtuosity is that its Vessel died. In this instance, we don't even know that Vessel's name, only that the splintering of Virtuosity had a profound effect on the planet Komashi, which is the main setting of Yumi and the Nightmare Painter. Virtuosity is related to art and the pursuit of craft, which feature heavily in the book. Since Virtuosity splintered, a shroud of darkness has fallen over much of Komashi, resulting in the appearance of living nightmares. We learn more about the strange effect this has had on the planet in the book, but there are too many spoilers to go into here.
12. Invention
The rest of the Shards on this list have yet to appear in the Cosmere, and have only been mentioned by name. We still know relatively little about them, what planets they reside on, or even the name of most of their Vessels. Hopefully we'll learn more as the story progresses.
Invention is mentioned in one of the epigraphs for Rhythm of War, as well as in Wind and Truth. Its Vessel is named Chan Ko Sar.
Mercy
Mercy is another Shard mentioned in an epigraph to Rhythm of War. We do not know the name of its Vessel.
Valor
Valor is mentioned in both Rhythm of War and Wind and Truth. Its Vessel is named Medelantorius. The one thing we know about this Vessel is that, as of the end of Wind and Truth, Hoid has resolved to seek Valor out. I'd expect this one to play a major role in the Cosmere at some point.
Whimsy
Whimsy is briefly mentioned in an epigraph in Rhythm of War.
Reason
The last of the 16 original Shards is Reason, whose Vessel is named Euridrius. It is briefly mentioned in Chapter 115 of Wind and Truth, which states that this Shard has vanished and its location is unknown, even to other Shards. As with Valor, I'd expect Reason to show up in a big way at some point.

Hybrid Shards
That covers all 16 of the original Shards of Adonalsium...but the Cosmere is ever changing, and so too are its Shards. These god-like forces are not just metaphorical, they factor into the story of multiple series in major ways. Both The Stormlight Archive and Mistborn feature Shard Vessels as key figures which impact the narrative. If there's one thing you should take from this list, it's that even gods can be killed in the Cosmere, and the state of things can change under extreme circumstances.
To wit, there are two other Shards in the Cosmere by the end of Wind and Truth: Hybrid Shards, composed of one Vessel taking multiple Shards into themselves. As each Shard represents a specific ideal, and those ideals can sometimes conflict, this makes for an extremely complicated existence for the Vessel who has decided to take on multiple.
It would require massive spoilers to discuss details around the Hybrid Shards, but we can at least say their names for completion's sake: Harmony and Retribution.
With more than 20 books in the Cosmere and counting, who knows how many more secrets and twists involving the Shards await?
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