Have lights be able to cast a projected or cube mapped textured instead of just a color. Great for adding realism, faking cloud shadows, making non-uniform flashlight beams, light through stained glass, optimizations, and countless other things.
C4 and unity3D have this feature, examples:
http://unity3d.com/support/documentation/Manual/HOWTO-LightCookie.html
http://www.terathon.com/c4engine/shot.php?shotname=c4/demo4 (I think this is a spotlight with a cookie but it might just be a spotlight with shadows)