The problem with using shadow-mapped lights is that in some cases, you need ray-traced shadows. For example, in the image above, it would be impossible to get those wine glass shadows using shadow maps, because they depend on the fact that we are ray tracing through the glass material. The image above actually uses the following technique: render the exact same image twice -- once with all lights set to shadow mapped shadows and the second time with all lights set to raytraced shadows. Then blend the two images in photoshop or similar image processing app. That way you can get the benefits of raytraced shadow accuracy, but soften them by blending with the shadow-mapped shadows. It's a little more work, but if you have some transparent materials like in this image, it can make a difference.

-Jeremy