Ahmed Farhan, 28, was shot in the head from a helicopter in the capital Manama on Tuesday.
The protests are the first since security forces attacked a sit-in at Manama's Pearl Square on Wednesday, killing three.
Bahraini police have been reinforced with more than 1,000 troops from Saudi Arabia and other Gulf states.
United Nations chief Ban Ki-moon called King Hamad Al-Khalifa late Thursday to warn the crackdown may be breaking international law. UN human rights chief Navi Pillay said Thursday she had evidence of "shocking and illegal" abuses, which allegedly include killings, withholding treatment from the wounded and attacks on doctors trying to help injured protesters. The government denies the claims.
Six opposition figures were arrested on Thursday.
In Saudi Arabia, protesters demonstrated in support of Bahraini protesters in the eastern city of Qateef on Thursday night. Security forces fired tear gas at demonstrators, and shots were heard. Marches were also held in the cities of Tarut, Safwa and Awamiya.
Some 10 Shia protesters were injured with clubs on Friday in Omran in Saudi Arabia's Oriental Province during clashes with police.
Other rallies took place in Awamiya, where some 2,500 people attended a march, Safwa and al-Rabiya, which both had rallies of 1,000 people for the fourth day in a row.
And more than 5,000 Iraqis rallied Friday in northern Diyala province to denounce the crackdown in Bahrain.
In Iran, thousands marched in support of Bahrain's protesters after Friday prayers. Iran on Wednesday withdrew its ambassador from Manama in protest at the actions of the Bahraini government.
Credit rating agency Standard and Poor's cut Bahrain’s ratings on Friday, saying recent unrest had had a serious effect on the country’s economy.