This is one I have just created and thought you may find interesting or at least to get this topic started. The image can be viewed in full at my gallery, but i have included an example here showing my light settings and positioning of the distant lights. I find they render quicker than spot lights while still giving a good result.

To make this image more impressive, I needed to change the models skin 'Specular Glossiness' to around 80%, this reflected the light better and made the skin texture brighter as can be seen in the final image.

I hope this has been of some help to anyone starting out and not familiar with lighting techniques.