oh dear, sorry, Carolchesh, but 'rockery plant' and 'shade' are not words you'd expect to find in the same sentence, or at least, not without a negative. Rock plants are usually alpines, which grow in high, very open and very sunny spots. If its damp, you could use primula/polyanthus/primrose, and campanula muralis will tolerate quite a bit of shade, but these are not really rock plants as such.

Hardy Geraniums do well in the shade and will scramble all over your rockery..

Some low growing campanulas will do the same, particularly poscharskaya, and quickly too! London Pride may be an old fashioned plant but it will be very happy in shade. If you get any sun at all you could try a miniature upright holly, Ilex crenata Fastigiata which makes a thin column eventually reaching 1.5m but very slow growing.
This would need a reasonably good soil so wouldn't be happy in a gritty very well drained rockery - depends what yours is like.