Most current games support some form of shadows. They can be pre-calculated or rendered in real-time. Pre-calculation implies that the effect of shadows and lighting is calculated in advance and rendered onto an additional material layer. It only makes sense for objects that don't move in the scene. Real-time shadows are rendered using the GPU, but can be computationally expensive and should only be used for dynamic lighting. You might be familiar with real-time shadows from applications such as SketchUp and recent versions of ArchiCAD or Revit.
Ideally, both techniques are combined. The overall lighting of the scene (for example, buildings, street, interiors, and so on) is pre-calculated and baked in texture maps. Additional real-time shadows are used on the moving characters. Unity can blend both types of shadows to simulate dynamic lighting in large scenes. Some of these techniques, however, are only supported in the pro-version.
