#For Blender Internal Only:
For Blender Internal Only:
From my answer on How to make a model cast shadows onto the world texture/background?.
Basically all you need is a plane to catch the shadow of the object(s) on it.
A quick way to achieve this using the internal renderer is to add a plane, select it and add a new material, in the material settings under Shadow, enable Shadows Only.
Next, you can optionally enable transparency, use Z Transparency and use the alpha slider to control the strength/darkness of the shadow.
To further enhance this and add to the realism, you can enable Ambient Occlusion and use a blend sky (for simple renders). It is also worth noting that the shadow you get is dependent on the type of lamp and world settings you use in some cases, in the image below I am using a sun lamp with ray shadow enabled and I also have Environment lighting turned on, this softens the shadow and its harder to control but gives a nicer subtle effect.
Here I am using a sun lamp and a point lamp with Environment lighting off, with this setup, I can easier adjust the opacity of the shadow with the transparency setting.