Check your render options. There's a check box that controls whether shadows show up in renders. You can also control anti-aliasing and bump maps from the same box. Other things to consider: The light properties of each light control whether that particular light can cast shadows. The properties of each object control whether that object can cast shadows. On rare occasions you might come across a mesh that isn't capable of casting shadows. That's a real pain but it doesn't happen often.

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