At Low Quality, the shadows are simple: they aren't there. Moving to Medium Quality brings some rudimentary building and character shadowing, while at High Quality they all look very nice indeed.
Interestingly, if you have NVIDIA hardware, the engine takes advantage of the UltraShadow feature on the card - originally created for Doom 3 - meaning a performance boost when shadows are enabled, relative to ATI cards.
A great effect is that the shadow fades a little as you get closer to it, as it would in real life, as your perspective changes.
On the left is a Medium Quality shadow, which looks good by most standards and is adequate for the performance. On the right, you can see a cool effect: the shadow casts upon the grass, giving a pretty funky effect of height. However, the poor quality of the geometric vegetation rather spoils an otherwise good effect.
Anti-aliasing isn't enabled even on high-quality, because the game takes a huge performance hit for using it. However, the large amount of outdoor objects and complex grids used in the game make it an absolute necessity. On a 19" monitor, for example, the game will look far better at 1024x768 with 2xAA than it will at 1280x960 with no AA. On a 6800GT, our preferred gaming resolution is 1024 with 2xAA.
The image on the left is a standard 1024 resolution, cropped but not resized. You'll be running this res on anything above a 6600. As you can see, the building just looks outrageously bad. With 4xAA, however, it's a heck of a lot better.
If you want more proof, here's another shot from the same level, with no AA and 4xAA - you can see the huge quality difference between the four shots, and hopefully you can get an idea of how crucial anti-aliasing is to a decent visual quality in-game.
High Quality Images
Here are some full-screen, 1024 4xAA screenshots for you to get an idea of the graphics quality. Click for a new window with the full-size.