BI does have volumetric rendering, so you could you could use two Spot lamps with Halo enabled to get this effect:
ShiftA>Add > Lamp > Spot
Select the spot lamp and duplicate it with AltD to duplicate linked. This way all settings will be mirrored between each Linked Duplicate.
Rotate the duplicated lamp 180° (R180):
Enable Halo in Object Data > Spot Shape.
Note that to get volumetric shadows, Step will have to be set to
1 or higher:
Cycles does not yet have volumetrics integrated, but they are planned to be in 2.69 or 2.70:
For 2.68, the following features are planned to be worked on:
- Hair shader
- Ubershader (combined diffuse+glossy+transparent node)
- Look into of improvements for SSS, AO, mist, ..
After this the next big feature will be Volumetrics. Probably the
first release with Volumetrics will be 2.69 or 2.70.
You could fake this in Cycles by using the same scene with two spot lamps, but with transparent cone objects along with spot lamps to act as the volume.
Add a Cone and match it to the shape of the spot lamp:
Create a material for the cones. The IsCamera ray node mixes the transparent shaders so that the cone appears to have some color only to the camera. All other rays will just pass through it unaffected. The Layer Weight node allows us to change the color based on how much faces point towards the camera.
Note that with this technique it is impossible to get volumetric shadows. (see this post for some tricks to fake volumetrics in cycles with shadows.)