How do I create a “light pillar”? Here’s an example of what I mean:
I already tried using a spot light but if I look up to the sky I don’t see the light. I can only see it where the light is hitting the ground. Here is a screenshoot: http://puu.sh/6HrvV.jpg
If you want to draw the beam in the air then you need some geometry up there. You could do this using LineRenderer, or just by building a textured mesh of your own. You probably want to render it with an unlit additive shader.
For the ground effect you need to do something in the lighting pass, but to keep things simple a simple spot light could work fairly well, as you already discovered.