It's possible to put a plane in front of your light, and give it colored transparency, so you get a projected image. But getting the shader and the light intensity and the relative positioning all correct at once is very tricky when any one of those things ruins the whole effect and you don't know which one you've got wrong. Also, you need to make an enclosure around the light and plane so there's no leakage to the side, and there isn't a hollow tube primitive. So you need to make one side of the enclosure transparent which requires a trans map.

It would be nice if there was a prop in the library with a complete gobo setup, with all the correct spacing and all you had to do was load your image. I've struggled with it a few times and never been satisfied.

The bat signal is the easy version, because there's no color and the light bleed around the outside is intentional.