I want to cast some light rays from the sky in my scene. As far as I know only way in Blender Internal is to use Spot Lights with Halo enabled. But I don't want the light to actually illuminate the scene, nor have the obstacle which creates the rays to be visible. Can I do this?
Uncheck 'Specular' and 'Diffuse' illumination options in your spot lamp and only check 'Halo' (+ adjust 'Size', 'Intensity', etc. as you like)
To get some more defined and realistic rays you can add a so called cookie ("stencil") object (e.g. a plane with some holes cut in it). To make it just cast shadows and not show up in the render itself you have set up the "Shadow" section of its material as follows (main part being the "Cast Only" setting):
Use the Compositor node 'Filter'->'Sun Beams' to get the effect in post