The "shadow" you see in the preview window is not a true shadow - it's an alignment tool that reveals relative placement of objects in relation to the ground plane. It doesn't display when rendered because it's not cast by a light source. YOU have to create the lights for your scene (unless you're content with the defaults). Shadows are controlled in 3 places. Each object can have it's shadow turned off or on. Each light can be adjusted for HOW MUCH SHADOW it casts (turning a light source to 50% shadow intensity is a good way to allow dim lighting for an interior scene - 100% shadows means interiors are completely dark when rendered). And finally - you can select to render with shadows or not in render options. Clear? To recap; Blobby "shadow-thing" under objects in preview mode is only an alignment guide - not a real shadow. Each object can have it's shadow turned on/off as desired. Each light can have shadows on/off/or graduated in between. You can decide to render with or without shadows in render options. If you want to simulate your alignment "Shadow" in renders, just create a light directly above your subject with shadows turned on in all 3 places. Have fun!