You can configure the real-time and baked shadow settings for each Light component using the Inspector.
Each Mesh Renderer in the Scene also has a Cast Shadows and a Receive Shadows property, which must be enabled as required.
Enable Cast Shadows by selecting On from the drop-down menu to enable or disable shadow casting for the mesh. Alternatively, select Two Sided to allow shadows to be cast by either side of the surface (so backface culling is ignored for shadow casting purposes), or Shadows Only to allow shadows to be cast by an invisible GameObject.