There's an easy, but possibly expensive way...
You can play around with the settings within the light settings (I'm assuming you're talking about directional lights) but to get the shadows to actual cast the shape of the object, you're going to want to go into Edit>Project Settings>Quality and mess with these under "Shadows". The main one you will want to change is Shadow Projection = Close Fit. You should instantly see a significant change in the Scene View. If you make it close fit however, you'll want to skim on other settings such as shadow distance and such since shadows are pretty expensive. Hope this helps!
answered Jul 10 '12 at 02:06 AM
Are you sure you saw all the possible options for shadows?
In the "shadow" section of the inspector you can choose the shadow's resolution. Just set it to high or very high resolution and the shadow will improve a lot.
answered Jul 10 '12 at 02:11 AM