Here are a couple of links on how to render light scattering effect (aka. volumetric shadows):

• GPU Gems 3, chapter 13: Volumetric Light Scattering as a Post-Process
• SIGGRAPH 2010 paper: Epipolar sampling for shadows and crepuscular rays in participating media with single scattering
• Intel article: IVB Atmospheric Light Scattering
• Unity plugin implementing above Intel article: Light shafts Unity plugin
• Slides: Volumetric Lighting for Many Lights in Lords of the Fallen

 Update:

• Sébastien Hillaire wrote an article on dynamic volumetric lighting with temporal upsampling.