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Yes, the shades look cool, but what is the purpose of them really? Is it to not show expression or surprise? Is it to look at something without being seen looking at it? Then again why would a program need to wear shades? It is interesting to note that only fighters seem to wear shades and everyone else does not.
Maybe the shades were a way to filter out the code in the matrix, so it is not a distraction when fighting In any case, it provides the cool factor.
Reminds me of a quote from Deus Ex:
"Are you going to where those sunglasses on a night mission?"
"My vision is augmented, I can see in the dark, even with the shades."
"Ahh, better to look good than to be distracted by a comrade in need eh?"
I would probably go with the 'cool factor' idea. I never did see Matrix Revolutions, so I couldn't say if they did or didn't where glasses then. But who knows?