So e.g. I have white point light that pass behind few colored glass cubes and proper light frequencies get blocked so you get something like this:
Of course this is bit over-the-top example, but you get the idea.
For spotlights here is a free option GitHub - robcupisz/LightShafts: A light shafts (volumetric shadows) effect for Unity.
For point lights this asset “foggy lights” is a decent solution Unity Asset Store - The Best Assets for Game Making