There are three basic kinds of shadows you can create:
Raytraced shadows that use the raytracing renderer. The shadows are very realistic but take longer to render. For information about creating raytraced shadows, see Creating Raytraced Shadows.
Shadow-mapped shadows that use the scanline renderer. They are quick to render, but not as accurate as raytraced shadows. Shadow-mapping works only with spotlights. See Creating Shadow-Mapped Shadows for more information.
Soft shadows that are created by defining area lights. Area lights need to be rendered with the raytracing renderer to obtain soft shadows. For more information, see Creating Soft Shadows with Area Lights.
You can set up and display OpenGL shadow maps in 3D views set to the Realtime Shaders > OpenGL display mode - see Displaying and Rendering OpenGL Shadow Maps.