I have been making static shadows in the BGE by just adding a plane for the shadow and setting an alpha mapped UV texture on it to make it look like a shadow. But, it doesn’t work like a real cast shadow, ie, what do I do when I have to cast the shadow over a terrain that is not completely flat??
real time shadows not available in the BGE but you could look at Ashsid’s Odys pluggin (its not finished yet - http://blenderartists.org/forum/showthread.php?t=83375&page=7&highlight=ashsid)
I’ve never used irrlicht, but that can do realtime shadows. There’s probably a blender plugin somewhere.
If I am not mistaken Irrlicht allows quite a few different formats that blender supports.
I would use .OBJ, because the exporter is very nice in blender.
You can also use .3ds and even load quake 3 BSP levels if you want (we ahve a BSP exporter too! but I would use Radiant so you can build your lightmaps automaticaly)