In Albany, New York, more than 250 people outside the governor's mansion called for stiffer penalties for hate crimes.
In Chicago, 500 people joined hands at a makeshift memorial. A letter asked "Dear Lord, take care of our Matt."
And in Washington, celebrities and politicians gathered outside the Capitol with a message of hope for the nation.
"I can't stop crying," said actress Ellen Degeneres, who became the first person to portray a gay lead character on a prime-time sitcom after announcing that she was gay last year. "It just hit me why I am so devastated by it. It's because this is what I was trying to stop. This is exactly why I did what I did."
Joining Degeneres were her partner Ann Heche, actress Kristin Johnson from Third Rock From The Sun, and Frazier's Dan Butler who told the crowd of more than 1,000, "I'm proud to be American. I'm proud to be a gay man."
Senator Ted Kennedy, D-Mass., told mourners that Shepard's death has "shocked the conscience of the country. A powerful response is clearly required."
At a gathering of more than 500 people in Madison, Wisconsin, speakers recalled stories of anti-gay violence closer to home. "One of my best friends was beaten," Michael Bender said. "I'm sick of it. I want it to stop."
Shepard, a 21-year-old University of Wyoming student, died Monday after he was pistol-whipped and left tied to a fence outside Laramie last week.
Police say robbery was the main motive for the attack, but Shepard was singled out in part because he was gay. Four people have been charged in the slaying, two of them with first-degree murder.
The slaying has been condemned by people across the country, including President Clinton, and has renewed calls for anti-hate legislation to protect homosexuals. It also has sparked some outbursts of anti-gay hatred.
Shepard told friends he had been beaten twice in recent months, attacks he attributed to his homosexuality. One of those attacks occurred Aug. 18, The Cody Enterprise reported Wednesday.
A funeral service for Shepard will be held Friday in his hometown of Casper, 150 miles north of Laramie.