Shadows depend on light strength and material the light is directed. Sharp shadows, distinguishable shapes are caused usually by direct light. Usually the edges of the shadow shapes blend a little when the material is soft or there is something else reflecting the light (a bright surface).
When light is indirect, shadows are blended so that their shape becomes almost indistinguishable. This is because of the physics that light particles have. When light ends, in an unreachable point, the rays still bounce forfard, causing the effect of fading shadows and light reflections on surrounding objects. Therefore scotch's picture is not 100% true. His sunrays would still produce quite sharp edges, but not complete fading.
If you take a cube for example and put it under direct light from one side, you see that the shadow it has is actually lighter in the inner section when its closer to the cube, same goes with the shadow on the cube that is closer to the floor surface. That is caused because of the light beams reflect and bounce from different surfaces to another.
Some examples:

And this famous Edward Hoppers painting:

Notice how the closest wall in a shadow is actually greenish-yellow instead of blue. That is due to a colour reflection. Remember, shadows aren't black and white, they are actually coloured. Usually the rule is that warm colours have cold shadows and vice versa. And in cold colours, reflection of warm colours pops out. But that is not always 100% true, still, it would be enough for you I think.
Also remember, that those reflections in shadow, the bouncing light etc, are not just light, its actually colour of different surfaces that shine and reflect on each other with light. So, when you have a blue cube on yellow surface for example, some of the bright yellow is reflected on the cube. Always remember that brighter colour reflects more on darker colour and all bright areas reflect light.
If you look at some pictures, where perspectively and what-so-ever all seems to be correct, objects have shadows etc, but still parts of the image look weird and unnatural, know that usually the problem lies in missing colour reflections. I always try to lend colours of different objects onto the surfaces of others when doing my pictures, so the whole piece would feel like a whole where everything is fitted together and not scattered floating pieces. That is also the reason why most of the pixelartists try using lesser colours, it can be taken as a practice in lightning and colour composition.
But what can be really mind puzzling are the reflections and shadows on different shapes. For that, I've actually collected a few tutorials which can be found on a sidearm of my homepage:
http://www.clicksandbleeps.com/tuts.htmlThats all! I am not smart and diligent enough to continue writing on this topic, so I end thi here for now, hope it helped

As with sunbeams, most of the above was true, but lets not forget that sunbeams cannot come from clear sky in an open area. Thick beams of light need a dark area with sharp light source (a hole in the ceiling). And on some occasions, when the light is very very strong and due to a structure of source, beams can appear in non-thick air too. And the main rule is that area needs to be darker than usual so the beams can shine out.