I found out! :D

1. You have to set up one or more lights to drop shadows. Any light will do fine.

2. Click on it, and select a shadow type from "No Shadows" to "Hard Shadows" or "Soft Shadows".

3. Go to "Edit>Project Settings>Player", and click on "Other Settings" at the bottom of the Inspector. Now look for "Rendering Path*" and change it from "Forward" to "Deferred Lighting".

It will also work with with all kinds of lights :)