How can I create a single 'God Ray', like a spotlight in Cylces?

Trying to get an effect where a character is illuminated by a ray of light and where you can
see the light ray as well. How do I do that in Cycles?

Unfortunately, right now you’d need one of the experimental volumetric builds for that, which are pretty unstable.
You could try compositing the light rendered in BI.

Or you could try using a shader to match some semi-transparent geometry with a spotlight, but it could get quite complicated if you have shadows there.

Or you could try using the trick where you motion-blur a semi-transparent plane moving across your whole scene over a single frame, picking up light like volumes:


.

In any case, there isn’t really a good solution for Cycles at the moment.