Contributed by anonymous.
To make a lamp affect only its own layer select it,
switch to the Lamp Buttons window (F4) and
select 'Layer' in the row of buttons on the left.
Contributed by Dell'Aiera Pol.
Only spotlights can produce shadows. Make sure that the 'Shadows' option for the lamp is enabled, and that you have selected 'Shadows' in the Display Buttons window (F10).
A good tutorial about fine tuning shadows can be found here:
https://www.blender.nl/showitem.php?id=128
Contributed by B@rt.
Make sure you've added at least one lamp to your scene. Also check if the camera is facing your objects by pressing keypad_0.
Contributed by B@rt.
One way to simulate this is to create a half sphere or a subdivided plane (meshes) and make it the parent of a lamp. Go to the Animation Buttons Window (F7) and select DupliVerts. You now have as many lamps as you want, resulting in a very natural illumination of your scene.