My own feeling is that Catholicism was very much part of the landscape of late Elizabethan and early Jacobean England, and it is only natural that this is reflected in Shakespeare's work, as in the work of many other writers of the period. It doesn't, for me, add up to saying that he *was* a Catholic, even a secret one, but then, how can we ever know what's truly in another person's heart, especially one who died hundreds of years ago?
I made particular use of Gary Taylor's essay on James Mabbe ("The Cultural Politics of Maybe") for a paper I wrote on Mabbe for the journal _Translation and Literature_. Taylor has something new to say about Mabbe here - that apparently he was imprisoned as a Catholic spy for three quarters of a year. This is important news, and has some implications for our understanding of Shakespeare, since Mabbe was the author of one of the dedicatory verses prefacing the First Folio of Shakespeare. It's frustrating that the evidence is based on a letter by the accusing party (George Abbot, the then Archbishop of Canterbury), who says he locked Mabbe up on the basis of documents he found about his person. Taylor calls this a "smoking gun", but more accurately, it's the Archbishop's assertion that the gun was smoking, not the gun itself.
Abbot was nothing if not zealous. He also laid charges of crypto-Catholicism against William Laud (who went on to succeed Abbot as Archbishop of Canterbury) and John Howson (who, four years later, was made Bishop of Oxford). An accusation of Catholic sympathies made by him was not necessarily any guarantee that the person accused was actually guilty.
But guilty of what? The question of who or what a Catholic sympathizer was cannot be answered in any definitive way. What that expression meant at the time of the Gunpowder Plot and what it meant more than a decade later (when Mabbe was accused), or later still, when Charles was king, were rather different things. It meant different things at different times to different people.
While I don't suppose the Archbishop was lying about Mabbe's imprisonment, it would be nice if the prison records supported his assertion. Unfortunately, the records are incomplete, and - if Mabbe was ever on the register - his name is not in the surviving records. His position as prebendary at Wanstrow was not affected by his spell in prison, nor was his career at Oxford, so it seems likely that he was detained without trial or formal charges being laid against him.
All this by way of showing how difficult it is to be sure of these things. A particular difficulty with Shakespeare is that, the more one looks at him, the more one sees one' own face looking back. It is no surprise that the majority of those who support the theory of a Catholic Shakespeare art Catholics themselves.