Well ofcourse you can! It's your choice and you learn a great lot by playing around with the lights to get the perfect effect, but take note that, with every natural light you use, you should be able...

That could be a very, very long wait :p

You might want to check this out too http://www.thegnomonworkshop.com/tutorials/transparency_shadows/trans_shadow.html. I think I'm will be going to make a vlume fog tut as well, but that could take...

Try a very glowing sphere far from your scene, an image map etc. :p (prob. not the best place to use etc, but I can't give more advice without a bit of explaination).