Is it rude to shake hands with other hand in your pockets?
We are not supposed to keep our hands in pockets at any time. Pockets are for holding things, not hands.
If we go back to the history of a hand shake, it is thought the idea was to show the hand does not hold weapons, therefore the other hand should have been in plain view too.
We are no longer shaking hands for that reason, however the customs remained. The same as not keeping hands in pockets, keeping a hand in pocket while shaking hands is not the right thing to do. I don't think it's rude, but it's not polite either. Why shake hands at all if not following the rest of the custom? It's enough to say nice to meet you... Oh, wait, that's rude too. :)
Of course everything depends on context. But I get flak from my wife every time she sees me with my hands in pockets, so... be warned, other people may frown on anyone keeping hands in pockets (and maybe "supporting" a pillar or wall in the process). It's all about image after all: how do we want others to perceive us, a rebel or a pillar of society. :)
So the short answer is: no hands in pockets.