Well there are ways of doing it with volumetric spotlights or messing about in the skylab with volumetric world switched on. Both of these will take some experimentation as each sky setting will affect the final results. It will also bump up your render time considerably.

A quick and easy option is to apply a mat called "lit rays" an elongated cone primitive. Then place them in the scene. The above example is how I've done it in the past for a sunset scene.

http://joevinton.blogspot.com/