My recent visual effects demos in Unity. Realtime Irradiance Probes Volumetric Rendering Particles and Shadows
I just sample my own shadow map in the particle shader. I convert the viewspace pos of the unity particle -> world space and do a shadow map compare. I also render the particles to an off-screen buffer so I can reduce the fill-rate and render soft particles. I also do a 5x5 tap pcf to the shadow to make it a bit nicer. I've seen the effect use recently in a lot of games like mgs5. It's pretty nice but heavy effect.