Use the Hypershade Editor->Light tab
Open Windows->Rendering Editors->Render Settings...
Under Maya Software tab:
Under Raytracing Quality
Input Shadows 2
Input Bias .2 This will make round objects look less jaggy.
This light is like a light bulb, it points in all directions. A good default intensity is 1.2
In the attribute editor for the point light, select Decay Rate->Linear
Use Create->Measure Tools->Distance Tool to measure the distance between the light and the object you would like illuminated. Use this value for the Light's Intensity, you can input a value above the slider.
Play with Quadratic, you will need to turn up the intensity to over 100.
This light has no attenuation, it similar to our sun. Everything in the scene is illuminated equally. Leave the intensity of this light at 1 unit. Narrow shadows. Use rotate to change the direction of the light.
The location of the light does not matter as it does not change the attribute of the light.
This light works well as a fill light. It helps illuminate dark shadow areas that can tend to make an object flat. No highlights. Avoid using this light as the key light, it tends to be very low contrast. The default settings are bad, set the color to a dark gray.
This light creates a cone of light, notice the ring of light on the ground.
Fog with Spot Lights
Select your spot light. In the perspective window, select Panels->Look through Selected.
Dolly and track the view to look at your objects. This will aim the light at the objects in your scene.
Use Panels->Perspective->Persp to bring the window back.
Select the light and use Display->Show->Light Manipulators to turn on controls.
Use your mouse to drag the end of the cone longer.
Click the circle with a line to switch between manipulators.
In the Attribute Editor
Input a negative Penumbra Angle.
Input Dropoff 10
Under Light Effects, click the map button next to Light Fog.
Under Shadows, under Raytrace Shadow Attributes
Select Use Ray Trace Shadows
Input Light radius .15 for soft shadows
Input Shadow rays 40, to fix speckels
This light can be scaled to change the shape of the light. Notice the long rectangular highlights. If raytraced this light can produce soft shadows, although it can take a long time to render.
This light can be scaled to change the shape of the light. Object must be inside the light to be illuminated. Notice the beam of light, this was created with a box shaped area light, squished in the Z axis.