Please note: All bug fixes are correct using Unity 3.5 to the best of my knowledge.
Chapter 4: Terrain Generation: Creating a Test Environment
No Shadows Cast by Trees in Baked Lightmap
As you proceed step by step it asks you to create a directional light over the terrain. Later on it goes through the steps for baking a light map of the terrain. This is a pre-rendered version of the shadows in the terrain that allows you to use shadows without having to create them in real time. When I created the light map it did not bake in shadows for my trees. Eventually I googled the problem and found someone with the exact same problem, from the same book on the unity answers site (http://unity3d.qatohost.com/questions/163591/trees-has-no-shadows-baked-shadow.html) In short, the default setting for the directional light is not to cast shadows. Here’s what you do to fix it on Unity 3.5:
1. Highlight the directional light in the hierarchy
2. From the menu entitled Shadow Type change ‘No Shadows’ to either ‘Hard Shadows’ or ‘Soft Shadows’.
3. You will see a warning saying ‘Realtime shadows require Unity Pro’. Ignore this.
4. Re-bake the light map and you will see tree shadows baked in.