Is Shapiro–Wilk the best normality test? Why might it be better than other tests like Anderson-Darling? I have read somewhere in the literature that the Shapiro–Wilk test is considered to be the best normality test because for a given significance level, $\alpha$, the probability of rejecting the null hypothesis if it's false is higher than in the case of the other normality tests.
Could you please explain to me, using mathematical arguments if possible, how exactly it works compared to some of the other normality tests (say the Anderson–Darling test)?
 A: First a general comment: Note that the Anderson-Darling test is for completely specified distributions, while the Shapiro-Wilk is for normals with any mean and variance. However, as noted in D'Agostino & Stephens$^{[1]}$ the Anderson-Darling adapts in a very convenient way to the estimation case, akin to (but converges faster and is modified in a way that's simpler to deal with than) the Lilliefors test for the Kolmogorov-Smirnov case. Specifically, at the normal, by $n=5$, tables of the asymptotic value of $A^*=A^2\left(1+\frac{4}{n}-\frac{25}{n^2}\right)$ may be used (don't be testing goodness of fit for n<5).

I have read somewhere in the literature that the Shapiro–Wilk test is considered to be the best normality test because for a given significance level, α, the probability of rejecting the null hypothesis if it's false is higher than in the case of the other normality tests.

As a general statement this is false.
Which normality tests are "better" depends on which classes of alternatives you're interested in. One reason the Shapiro-Wilk is popular is that it tends to have very good power under a broad range of useful alternatives. It comes up in many studies of power, and usually performs very well, but it's not universally best.
It's quite easy to find alternatives under which it's less powerful.
For example, against light tailed alternatives it often has less power than the studentized range $u=\frac{\max(x)−\min(x)}{sd(x)}$ (compare them on a test of normality on uniform data, for example - at $n=30$, a test based on $u$ has power of about 63% compared to a bit over 38% for the Shapiro Wilk).
The Anderson-Darling (adjusted for parameter estimation) does better at the double exponential. Moment-skewness does better against some skew alternatives.

Could you please explain to me, using mathematical arguments if possible, how exactly it works compared to some of the other normality tests (say the Anderson–Darling test)?

I will explain in general terms (if you want more specific details the original papers and some of the later papers that discuss them would be your best bet):
Consider a simpler but closely related test, the Shapiro-Francia; it's effectively a function of the correlation between the order statistics and the expected order statistics under normality (and as such, a pretty direct measure of "how straight the line is" in the normal Q-Q plot). As I recall, the Shapiro-Wilk is more powerful because it also takes into account the covariances between the order statistics, producing a best linear estimator of $\sigma$ from the Q-Q plot, which is then scaled by $s$. When the distribution is far from normal, the ratio isn't close to 1.
By comparison the Anderson-Darling, like the Kolmogorov-Smirnov and the Cramér-von Mises, is based on the empirical CDF. Specifically, it's based on weighted deviations between ECDF and theoretical ECDF (the weighting-for-variance makes it more sensitive to deviations in the tail).
The test by Shapiro and Chen$^{[2]}$ (1995) (based on spacings between order statistics) often exhibits slightly more power than the Shapiro-Wilk (but not always); they often perform very similarly.
--
Use the Shapiro Wilk because it's often powerful, widely available and many people are familiar with it (removing the need to explain in detail what it is if you use it in a paper) -- just don't use it under the illusion that it's "the best normality test". There isn't one best normality test.
[1]: D’Agostino, R. B. and Stephens, M. A. (1986)
Goodness of Fit Techniques,
Marcel Dekker, New York.
[2]: Chen, L. and Shapiro, S. (1995)
"An Alternative test for normality based on normalized spacings."
Journal of Statistical Computation and Simulation 53, 269-287.
A: Clearly the comparison that you read did not include SnowsPenultimateNormalityTest  (http://cran.r-project.org/web/packages/TeachingDemos/TeachingDemos.pdf) since it has the highest possible power across all alternatives.  So it should be considered "Best" if power is the only consideration (Note that my opinions are clearly biased, but documented in the link/documentation).
However, I agree with Nick Cox's comment that the best test is a plot rather than a formal test since the question of "Normal enough" is much more important than "Exactly normal".  If you want a meaningful test then I would suggest combining the qq plot with the methodology in this paper:

Buja, A., Cook, D. Hofmann, H., Lawrence, M. Lee, E.-K., Swayne, D.F
  and Wickham, H. (2009) Statistical Inference for exploratory data
  analysis and model diagnostics Phil. Trans. R. Soc. A 2009 367,
  4361-4383 doi: 10.1098/rsta.2009.0120

One implementation of that is the vis.test function in the TeachingDemos package for R (same package as SnowsPenultimateNormalityTest).
A: I'm late to the party, but will answer with references to the published peer-reviewed research. The reason why I don't answer Yes/No to OP's question is that it is more complicated than it may seem. There isn't one test which would be the most powerful for samples coming from any distribution with or without outliers. Outliers may severely diminish power of one test and increase for another. Some test work better when the sample comes from symmetrical distribution etc.


*

*Henry C. Thode, Testing for Normality, 2002 - This is a the most comprehensive book on the subject. If I had to dumb it down to a simple answer, then SW is not more powerful than AD in all cases. Here are two excerpt for your reading pleasure.



From section 7.1.5: On the basis of power, the choice of test is
  directly related to the information available or the assumptions made
  concerning the alternative. The more specific the alternative, the more specific and more powerful the test will usually be; this will also result in the most reliable recommendations. 

and

A joint skewness and kurtosis test such as $K_s^2$ provides high power
  against a wide range of alternatives, as does the Anderson-Darling
  $A^2$. Wilk-Shapiro W showed relatively high power among skewed and
  short-tailed symmetric alternatives when compared to other tests, and
  respectable power for long-tailed symmetric alternatives.



*

*Romao, Xavier, Raimundo Delgado, and Anibal Costa. "An empirical power comparison of univariate goodness-of-fit tests for normality." Journal of Statistical Computation and Simulation 80.5 (2010): 545-591. This is the most recent published research on the subject I know of. 



The study addresses the performance of 33 normality tests, for various
  sample sizes, considering several significance levels and for a number
  of symmetric, asymmetric and modified normal distributions. General
  recommendations for normality testing resulting from the study are
  defined according to the nature of the non-normality

If you really want to boil down their research to yes/no, then the answer is YES. Shapiro-Wilks test seems to be a little bit more powerful in most cases than Anderson-Darling. They recommend Shapiro Wilk test when you don't have a particular alternative distribution in mind. However, if you're interested in this subject, the paper is worth reading. At least look at the tables.


*

*Edith Seier, Normality Tests: Power Comparison, in International Encyclopedia of Statistical Science, 2014 - A survey of published research on the subject. Again, the answer depends on the sample and your knowledge about the alternative distribution, but trivialized answer would be YES, Shapiro-Wilk is usually more powerful, but not always.

*Henry C. Thode, Normality Tests, in International Encyclopedia of Statistical Science, 2014 - Description of popular normality tests. His recommendation:

As indicated previously, the number of normality tests is large, too
  large for even the majority of them to be mentioned here. Overall the
  best tests appear to be the moment tests, Shapiro–Wilk W,
  Anderson–Darling $A^2$ (see Anderson-Darling Tests of Goodness-of-Fit),
  and the Jarque–Bera test. Specifics on these and many other normality
  tests and their characteristics can be found in Thode (2002) and on
  general goodness of t issues, including normality tests, in
  D’Agostino and Stephens (1986).

Now, this was all about univariate tests. The Thode (2002) also has multivariate test, censored data, normal mixtures, testing in the presence of outliers, and much more.
