I rendered this image with Gazebo 1.9.1, ROS Hydro, and Ubuntu 12.04 LTS:
The robot casts shadows, and the robot and terrain receive them, but the starting platform and the chair (both COLLADA meshes) do not, but should. I thought there might be a problem with my SketchUp-generated starting platform DAE file, so I put the chair from /opt/ros/hydro/share/gazebo_plugins/Media/models/chair/models/Chair.dae into the scene. It does not receive shadows, either.
I've worked around the problem by specifying a shadow-receiving material script for the starting platform in its SDF definition. However, I had to disable shadow casting for the platform in order to avoid significant self shadowing.